Recent evidence from studies performed mainly in warm climates suggests an association between exposure to extreme temperatures late in pregnancy and an increased risk of preterm delivery. However, there have been fewer studies on the effect of low temperatures. The aim of this study is to explore the potential association between both heat and cold during late pregnancy and an increased risk of preterm birth in the northern location of Stockholm, Sweden. All singleton spontaneous births that took place in greater Stockholm (1998-2006) were included. Non-linear and delayed effects of mean temperature on the risk of preterm birth were explored through distributed lag non-linear models. Extreme and moderate heat and cold were estimated separately through quasi-Poisson regression analysis in two seasonal periods (heat in warm season, cold in cold season). The risk of preterm birth increased by 4%-5% when the mean temperature reached the 75th percentile (moderate heat) four weeks earlier (reference: the annual median value), with a maximum cumulative risk ratio of 2.50 (95% confidence interval: 1.02-6.15). Inconsistent associations were obtained for cold and extreme heat. Exposure to moderately high temperatures during late pregnancy might be associated with an increase in risk of preterm birth in Stockholm.