We aimed (i) to assess the relationship of pregnancy-average particulate matter (PM) exposure with birthweight, birthweight at term, low birthweight at term, small for gestational age, and preterm birth, (ii) to identify critical windows of susceptibility to PM exposure across pregnancy on birthweight and small for gestational age, and (iii) to assess the presence of socioeconomic inequalities on these associations. We established a population-based, nationwide cohort using the Spanish birth registry between 2004 and 2016 (N = 3,678,445). We estimated daily PM10 and PM2.5 concentrations for the entire pregnancy at the maternal residential address at child’s delivery using spatiotemporal land use random-forest models. Linear, logistic, and distributed lag linear models were used for the different analysis. All models were stratified by maternal educational level and area-level deprivation index. Mean PM10 and PM2.5 concentrations during pregnancy were 25.1 and 12.7 µg/m3, respectively. Higher pregnancy-average PM10 concentrations were associated with lower birthweight and increased odds of preterm birth (-7.1 g [95%CI -8.5; -5.7] and OR 1.04 [95%CI 1.02; 1.05], respectively, per 10 µg/m3 increase in PM10). Similar results were found for PM2.5, in particular for levels above 10 µg/m3. These associations were stronger in infants born to mothers with lower education, particularly when combined with residence in more deprived areas. We observed some windows of susceptibility to PM10 for birthweight, mainly in the third trimester of pregnancy, with a similar pattern across socioeconomic levels. We did not observe windows of susceptibility to PM2.5. Structural policies to reduce exposure to current PM levels in pregnant women and socioeconomic inequalities are needed.