Background: Fish oil supplementation has been shown to delay spontaneous delivery, but the levels and clinical significance remain uncertain. We examined the association between plasma fatty acids quantified in pregnancy and subsequent risk of early preterm birth. Methods: In a case-control design nested in the Danish National Birth Cohort, we identified 376 early preterm cases (<34 gestational weeks, excluding preeclampsia cases) and 348 random controls. Plasma eicosapentaenoic acid plus docosahexaenoic acid (EPA+DHA% of total fatty acids), were measured twice in pregnancy, at gestation weeks 9 and 25 (medians). Odds ratios and 95% confidence intervals (CI's) for associations between EPA+DHA and early preterm risk were estimated by logistic regression, adjusted for the woman's age, height, pre-pregnancy BMI, parity, smoking, and socioeconomic factors. Hypotheses and analytical plan were defined and archived a priori. Findings: Analysis using restricted cubic splines of the mean of 1st and 2nd sample measurements showed a strong and significant non-linear association (p < 0.0001) in which the risk of early preterm birth steeply increased when EPA+DHA concentrations were lower than 2% and flattened out at higher levels. Women in the lowest quintile (EPA+DHA < 1.6%) had 10.27 times (95% confidence interval 6.80–15.79, p < 0.0001) increased risk, and women in the second lowest quintile had 2.86 (95% CI 1.79–4.59, p < 0.0001) times increased risk, when compared to women in the three aggregated highest quintiles (EPA+DHA ≥ 1.8%). Interpretation: Low plasma concentration of EPA and DHA during pregnancy is a strong risk factor for subsequent early preterm birth in Danish women.