Timely preterm labor prediction plays an important role for increasing the chance of neonate survival, the mother’s mental health, and reducing financial burdens imposed on the family. The objective of this study is to propose a method for the reliable prediction of preterm labor from the electrohysterogram (EHG) signals based on different pregnancy weeks. In this paper, EHG signals recorded from 300 subjects were split into 2 groups: (I) those with preterm and term labor EHG data that were recorded prior to the 26th week of pregnancy (referred to as the PE-TE group), and (II) those with preterm and term labor EHG data that were recorded after the 26th week of pregnancy (referred to as the PL-TL group). After decomposing each EHG signal into four intrinsic mode functions (IMFs) by empirical mode decomposition (EMD), several linear and nonlinear features were extracted. Then, a self-adaptive synthetic over-sampling method was used to balance the feature vector for each group. Finally, a feature selection method was performed and the prominent ones were fed to different classifiers for discriminating between term and preterm labor. For both groups, the AdaBoost classifier achieved the best results with a mean accuracy, sensitivity, specificity, and area under the curve (AUC) of 95%, 92%, 97%, and 0.99 for the PE-TE group and a mean accuracy, sensitivity, specificity, and AUC of 93%, 90%, 94%, and 0.98 for the PL-TL group. The similarity between the obtained results indicates the feasibility of the proposed method for the prediction of preterm labor based on different pregnancy weeks.