INTRODUCTION: Health and Demographic Surveillance Systems (HDSS) are important sources of population health data in sub-Saharan Africa, but the recording of pregnancies, pregnancy outcomes, and early mortality is often incomplete. OBJECTIVE: This study assessed HDSS pregnancy reporting completeness and identified predictors of unreported pregnancies that likely ended in adverse outcomes. METHODS: The analysis utilized individually-linked HDSS and antenatal care (ANC) data from Siaya, Kenya for pregnancies in 2018-2020. We cross-checked ANC records with HDSS pregnancy registrations and outcomes. Pregnancies observed in the ANC that were missing reports in the HDSS despite a data collection round following the expected delivery date were identified as likely adverse outcomes, and we investigated the characteristics of such individuals. Clinical data were used to investigate the timing of HDSS pregnancy registration relative to care seeking and gestational age, and examine misclassification of miscarriages and stillbirths. RESULTS: From an analytical sample of 2,475 pregnancies observed in the ANC registers, 46% had pregnancy registrations in the HDSS, and 89% had retrospectively reported pregnancy outcomes. 1% of registered pregnancies were missing outcomes, compared to 10% of those lacking registration. Registered pregnancies had higher rates of stillbirth and perinatal mortality than those lacking registration. In 77% of cases, women accessed ANC prior to registering the pregnancy in the HDSS. Half of reported miscarriages were misclassified stillbirths. We identified 141 unreported pregnancies that likely ended in adverse outcomes. Such cases were more common among those who visited ANC clinics during the first trimester, made fewer overall visits, were HIV-positive, and outside of formal union. CONCLUSIONS: Record linkage with ANC clinics revealed pregnancy underreporting in HDSS, resulting in biased measurement of perinatal mortality. Integrating records of ANC usage into routine data collection can augment HDSS pregnancy surveillance and improve monitoring of adverse pregnancy outcomes and early mortality.