Air pollution exposure has been increasingly linked to adverse pregnancy outcomes. This study aimed to investigate the effects of PM_2.5 exposure throughout pregnancy on preterm birth, low birth weight (LBW), and small for gestational age (SGA). We analyzed a cohort of 16,965 pregnant women living in northern Thailand between 2016 and 2022. PM_2.5 concentration data were collected from two air quality monitoring stations operated by the Pollution Control Department (PCD) of Thailand. Logistic regression models were used to assess the association between daily PM_2.5 exposure and pregnancy outcomes. PM_2.5 exposure at levels exceeding 37.5 μg/m³ throughout pregnancy significantly increased the risk of preterm birth (aOR = 2.19, p < 0.001) and LBW (aOR = 1.99, p < 0.001) compared to the reference group (15.1–37.5 μg/m³). However, exposure at levels ≤15.0 μg/m³ also increased the risk for both outcomes compared to the same reference group. Subgroup analysis of high-risk pregnant women, including women aged > 35 years, with pre-pregnancy BMI (<18.5), pregnancy-induced hypertension, and nulliparous women, showed that the range of the critical PM_2.5 exposure threshold was 32.3–38.4 μg/m³ for preterm birth and 31.2–38.2 μg/m³ for LBW. This study highlights the significant association between PM_2.5 exposure and adverse pregnancy outcomes and suggests the need for targeted interventions to mitigate its effects on maternal and child health.