Residential greenness may positively impact diverse human health indicators through the reduction of air pollution, the improvement of psychological health, and the promotion of physical activity. Previous studies indicate a weak but positive association with pregnancy outcomes. Our aim was to test the multiple pathways from residential greenness to pregnancy outcomes model, using residential NO2 concentrations, psychological health, and moderate-to-vigorous physical activity (MVPA) during the first trimester of pregnancy, in a sample of 440 pregnant women residing in Donostia, Spain. Three metrics of residential greenness were calculated around each participant’s home address: normalized difference vegetation index (NDVI) within 300 m, and green space (>5000 m2) availability within 300 and 500 m. Residential NO2 concentrations, psychological health, and MVPA were explored as mediators of the associations between these metrics and the following pregnancy outcomes: birth weight (BW), low birth weight (LBW), prematurity, small for gestational age (SGA), and large for gestational age (LGA). Educational attainment, parity, and body mass index (BMI) were treated as covariates. Counterfactual mediation analyses showed very low to null statistical support for an association between any of the greenspace metrics and pregnancy outcomes in the full sample. Green space availability (300 m) was associated with lower BW and showed a marginal protective effect against LGA.