Background: The risk of preterm birth (PTB) and stillbirth increases after a SARS-CoV-2 infection during gestation. We aimed to estimate the risk depending on gestational age at infection (early <28 + 0 and late ≥28 weeks of gestation, WoG), virus variants, severity of infection, and vaccination. Methods: PTB was divided into early PTB (<32 + 0) and late PTB (32 + 0–36 + 6 WoG). The prospective register COVID-19 Related Obstetrics and Neonatal Outcome Study (CRONOS) included 8032 pregnant women with a confirmed SARS-CoV-2 infection from 3 April 2020 to 31 December 2022, in Germany and Austria. Results: Stillbirth and early preterm births rates were higher during the Alpha (1.56% and 3.13%) and Delta (1.56% and 3.44%) waves than during the Omicron wave (0.53% and 1.39%). Early SARS-CoV-2 infection increased the risk for stillbirth (aRR 5.76, 95% CI 3.07–10.83) and early PTB before 32 + 0 (aRR, 6.07, 95% CI 3.65–10.09). Hospital admission increased the risks further, especially in the case of ICU admission. Vaccination against SARS-CoV-2 significantly reduced the risk of stillbirth (aRR 0.32, 95% CI 0.16–0.83). Conclusions: This multicentric prospective study shows an increased risk of stillbirth and preterm birth after infection early in pregnancy and therefore the importance of obstetrical surveillance thereafter. Vaccination offers effective protection.