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This study examined a comprehensive array of psychosocial factors, including life events, social support, depression, pregnancy-related anxiety, perceived discrimination, and neighborhood safety in relation to preterm birth (<37 weeks) in a prospective cohort study of 1,962 pregnant women in central North Carolina between 1996 and 2000, in which 12% delivered preterm. There was an increased risk of preterm birth among women with high counts of pregnancy-related anxiety (risk ratio (RR) = 2.1, 95% confidence interval (CI): 1.5, 3.0), with life events to which the respondent assigned a negative impact weight (RR = 1.8, 95% CI: 1.2, 2.7), and with a perception of racial discrimination (RR = 1.4, 95% CI: 1.0, 2.0). Different levels of social support or depression were not associated with preterm birth. Preterm birth initiated by labor or ruptured membranes was associated with pregnancy-related anxiety among women assigning a high level of negative impact weights (RR = 3.0, 95% CI: 1.7, 5.3). The association between high levels of pregnancy-related anxiety and preterm birth was reduced when restricted to women without medical comorbidities, but the association was not eliminated. The prospective collection of multiple psychosocial measures on a large population of women indicates that a subset of these factors is associated with preterm birth.