The aim of the study was to examine the risk of preterm birth following physically strenuous work during pregnancy. We included 343 pregnant women referred to an occupational medical clinic. Data on preterm birth and covariates were retrieved from the Danish Birth Registry. Risk estimates were computed by logistic regression using a population sample of gainfully employed women as reference (n = 345,915). The risk of preterm birth was increased in women lifting heavy loads during pregnancy (OR 1.40, 95% CI [0.88, 2.23]) but not in women with physically strenuous work (OR 0.98, 95% CI [0.66, 1.46]). The mean gestational age in the heavy-lifting group compared to the reference group was 2.4 days shorter (95% CI [0.36, 4.41]). The study challenges earlier reassuring findings as heavy-lifting pregnant women had a reduced gestational age, indicating a possibility of increased risk of preterm birth.