Preterm birth constitutes a significant international public health issue, with implications for child and family well-being. High levels of psychosocial stress and negative affect before and during pregnancy are contributing factors to shortened gestation and preterm birth. We developed a cumulative psychosocial stress variable and examined its association with early delivery controlling for known preterm birth risk factors and confounding environmental variables. We further examined this association among subgroups of women with different levels of coping resources. Utilizing the All Our Babies (AOB) study, an ongoing prospective pregnancy cohort study in Alberta, Canada (n = 3,021), multinomial logistic regression was adopted to examine the independent effect of cumulative psychosocial stress and preterm birth subgroups compared to term births. Stratified analyses according to categories of perceived social support and optimism were undertaken to examine differential effects among subgroups of women. Cumulative psychosocial stress was a statistically significant risk factor for late preterm birth (OR = 1.73; 95 % CI = 1.07, 2.81), but not for early preterm birth (OR = 2.44; 95 % CI = 0.95, 6.32), controlling for income, history of preterm birth, pregnancy complications, reproductive history, and smoking in pregnancy. Stratified analyses showed that cumulative psychosocial stress was a significant risk factor for preterm birth at <37 weeks gestation for women with low levels of social support (OR = 2.09; 95 % CI = 1.07, 4.07) or optimism (OR = 1.87; 95 % CI = 1.04, 3.37). Our analyses suggest that early vulnerability combined with current anxiety symptoms in pregnancy confers risk for preterm birth. Coping resources may mitigate the effect of cumulative psychosocial stress on the risk for early delivery.