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The association between excessive gestational weight gain and preterm delivery is unclear, as is the association between low gestational weight gain and preterm delivery among overweight and obese women.Using data from the Pregnancy Risk Assessment Monitoring System in 21 states, we estimated the risk of very (20–31 weeks) and moderately (32–36 weeks) preterm delivery associated with a combination of prepregnancy body mass index (BMI) and gestational weight gain among 113,019 women who delivered a singleton infant during 1996–2001. We categorized average weight gain (kilograms per week) as very low (<0.12), low (0.12–0.22), moderate (0.23–0.68), high (0.69–0.79), or very high (>0.79). We categorized prepregnancy BMI (kg/m2) as underweight (<19.8), normal (19.8–26.0), overweight (26.1–28.9), obese (29.0–34.9), or very obese (≥35.0). We examined associations for all women and for all women with no complications adjusting for covariates.There was a strong association between very low weight gain and very preterm delivery that varied by prepregnancy BMI, with the strongest association among underweight women (adjusted odds ratio = 9.8; 95% confidence interval = 7.0–13.8) and the weakest among very obese women (2.3; 1.8–3.1). Very low weight gain was not associated with moderately preterm delivery for overweight or obese women. Women with very high weight gain had approximately twice the odds of very preterm delivery, regardless of prepregnancy BMI.This study supports concerns about very low weight gain during pregnancy, even among overweight and obese women, and also suggests that high weight gain, regardless of prepregnancy BMI, deserves further investigation.