Background: Preterm birth is one of the most important contributors to neonatal mortality and morbidity. Experiencing stress during pregnancy may increase the risk of adverse birth outcomes, including preterm birth. This association has been observed in previous studies, but differences in measures used limit comparability. Objective: The objective of the study was to investigate the association between two measures of maternal stress during pregnancy, life stress and emotional distress, and gestation duration. Methods: Women recruited in the Danish National Birth Cohort from 1996 to 2002, who provided information on their stress level during pregnancy and expecting a singleton baby, were included in the study. We assessed the associations between the level of life stress and emotional distress in quartiles, both collected at 31 weeks of pregnancy on average, and the rate of giving birth using Cox regression within intervals of the gestational period. Results: A total of 80,991 pregnancies were included. Women reporting moderate or high levels of life stress vs no stress had a higher rate of giving birth earlier within all intervals of gestational age (e.g. high level: 27–33 weeks: hazard ratio (HR) 1.38, 95% confidence interval (CI) 1.04, 1.84; 34–36 weeks: 1.10, 95% CI 0.97, 1.25; 37–38 weeks: 1.21, 95% CI 1.15, 1.28). These associations between life stress and preterm birth were mainly driven by pregnancy worries. For emotional distress, a high level of distress was associated with shorter length of gestation in the preterm (27–33 weeks: 1.38, 95% CI 1.02, 1.86; 34–36 weeks: 1.05, 95% CI 0.91, 1.19) and early term (1.11, 95% CI 1.04, 1.17) intervals. Conclusions: Emotional distress and life stress were shown to be associated with gestational age at birth, with pregnancy-related stress being the single stressor driving the association. This suggests that reverse causality may, at least in parts, explain the earlier findings of stress as a risk factor for preterm birth.