Several studies have examined associations between particulate matter with aerodynamic diameter of 2.5 µm or less (PM2.5) and preterm birth, but it is uncertain whether results were affected by individual predispositions (e.g., genetic factors, social conditions) that might vary considerably between women. We tested the hypothesis that a woman is at greater risk of preterm delivery when she has had elevated exposure to ambient PM2.5 during a pregnancy than when she has not by comparing pregnancies in the same woman. From 271,204 births, we selected 29,175 women who had vaginal singleton livebirths at least twice in Connecticut in 2000–2006 (n = 61,688 births). Analyses matched pregnancies to the same woman. Adjusted odds ratios per interquartile range (2.33-µg/m3) increase in PM2.5 in the first trimester, second trimester, third trimester, and whole pregnancy were 1.07 (95% confidence interval (CI): 1.00, 1.15), 0.96 (95% CI: 0.90, 1.03), 1.03 (95% CI: 0.97, 1.08), and 1.13 (95% CI: 1.01, 1.28), respectively. Among Hispanic women, the odds ratio per interquartile range increase in whole-pregnancy exposure was 1.31 (95% CI: 1.00, 1.73). Pregnancies with elevated PM2.5 exposure were more likely to result in preterm birth than were other pregnancies to the same woman at lower exposure. Associations were most pronounced in the first trimester and among Hispanic women.