Socioeconomic factors in the neighbourhood are associated with smoking habits in various populations. We studied a 10-year cohort to determine whether women's smoking behaviour during pregnancy can similarly be determined by neighbourhood economic and ethnic factors. The cohort included 127,074 primiparous pregnant women in 592 Swedish neighbourhoods during the years 1992–2001. Multilevel technique was used to regress pregnancy smoking on socioeconomic individual-level variables and neighbourhood characteristics. Seven percent of the variation in pregnancy smoking was at the neighbourhood level and the odds of smoking during pregnancy were doubled in poorer areas. Health education and smoking cessation interventions should be directed at maternity care units in deprived neighbourhoods.