Background. To estimate the association between severe maternal life events and infants small for gestational age at different gestational ages at birth. Methods. From 1980 to 1992 all women exposed to severe life events such as death or first hospitalization for cancer or acute myocardial infarction in partners or children during pregnancy or up to 485 days before were identified through national registers. We included all 3,402 exposed pregnancies and 19,551 unexposed pregnancies randomly selected to the control cohort and performed adjusted stratified Cox proportional hazards regression analyses with time-dependent covariates. Results. These life events were not associated with SGA in general, but exposed infants born before 32 weeks of gestation had twice the risk for being born with a birth weight ≤10% for the gestational age, (adjusted hazard rate ratio 1.99, 95% confidence interval (CI) (1.26; 3.17)). Infants, whose mother had lost a child had the highest risk (adjusted hazard rate ratio 2.73, 95% CI (1.67; 4.48)). Infants whose mother had been exposed to severe life events during the year before pregnancy but not during the pregnancy had increased risks of being born as small for gestational age preterms. Conclusion. Severe life events are not in general associated with being SGA, but may be associated with SGA in preterms born before 32 weeks of gestation. Our study indicates that stress-induced SGA may have its origin in the earliest weeks of gestation and only affects the more preterm infants.