BACKGROUND: Both extreme heat and air pollution exposure during pregnancy have been associated with preterm birth; however, their combined effects are unclear. OBJECTIVES: Our goal was to estimate the independent and joint effects of heatwaves and fine particulate matter [PM <2.5μm in aerodynamic diameter (PM2.5)], exposure during the final gestational week on preterm birth. METHODS: Using birth registry data from Guangzhou, China, we included 215,059 singleton live births in the warm season (1 May-31 October) between January 2015 and July 2017. Daily meteorological variables from 5 monitoring stations and PM2.5 concentrations from 11 sites were used to estimate district-specific exposures. A series of cut off temperature thresholds and durations (2, 3, and 4 consecutive d) were used to define 15 different heatwaves. Cox proportional hazard models were used to estimate the effects of heatwaves and PM2.5 exposures during the final week on preterm birth, and departures from additive joint effects were assessed using the relative excess risk due to interaction (RERI). RESULTS: Numbers of preterm births increased in association with heatwave exposures during the final gestational week. Depending on the heatwave definition used, hazard ratios (HRs) ranged from 1.10 (95% CI: 1.01, 1.20) to 1.92 (1.39, 2.64). Associations were stronger for more intense heatwaves. Combined effects of PM2.5 exposures and heatwaves appeared to be synergistic (RERIs>0) for less extreme heatwaves (i.e., shorter or with relatively low temperature thresholds) but were less than additive (RERIs<0) for more intense heatwaves. CONCLUSIONS: Our research strengthens the evidence that exposure to heatwaves during the final gestational week can independently trigger preterm birth. Moderate heatwaves may also act synergistically with PM2.5 exposure to increase risk of preterm birth, which adds new evidence to the current understanding of combined effects of air pollution and meteorological variables on adverse birth outcomes. https://doi.org/10.1289/EHP5117.