Normal maternal thyroid function during pregnancy is essential for fetal development and depends upon an adequate supply of iodine. Little is known about how iodine status is associated with preterm birth and small for gestational age (SGA) in mildly iodine insufficient populations. Our objective was to evaluate associations of early pregnancy serum iodine, thyroglobulin (Tg), and thyroid-stimulating hormone (TSH) with odds of preterm birth and SGA in a prospective, population-based, nested case-control study from all births in Finland (2012–2013). Cases of preterm birth (n = 208) and SGA (n = 209) were randomly chosen from among all singleton births. Controls were randomly chosen from among singleton births that were not preterm (n = 242) or SGA (n = 241) infants during the same time period. Women provided blood samples at 10–14 weeks’ gestation for serum iodide, Tg and TSH measurement. We used logistic regression to estimate odds ratios (ORs) and 95% confidence intervals (CIs) for preterm birth and SGA. Each log-unit increase in serum iodide was associated with higher odds of preterm birth (adjusted OR = 1.19, 95% CI = 1.02–1.40), but was not associated with SGA (adjusted OR = 1.01, 95% CI = 0.86–1.18). Tg was not associated with preterm birth (OR per 1 log-unit increase = 0.87, 95% CI = 0.73–1.05), but was inversely associated with SGA (OR per log-unit increase = 0.78, 95% CI = 0.65–0.94). Neither high nor low TSH (versus normal) were associated with either outcome. These findings suggest that among Finnish women, iodine status is not related to SGA, but higher serum iodide may be positively associated with preterm birth.