(1) Background: Preterm deliveries (PTD, <37 gestational weeks) which occur in 5–18% of deliveries across the world, are associated with immediate and long-term offspring morbidity, as well as high costs to health systems. Our aim was to identify risk factors during the first pregnancy ending at term for PTD in the subsequent pregnancy. (2) Methods: A retrospective population- based nested case−control study was conducted, including all women with two first singleton consecutive deliveries. Women with PTD in the first pregnancy were excluded. Characteristics and complications of the first pregnancy were compared among cases, defined as women with PTD in their second pregnancy, and the controls, defined as women delivering at term in their second pregnancy. A multivariable logistic regression model was used to study the association between pregnancy complications (in the first pregnancy) and PTD (in the subsequent pregnancy), while adjusting for maternal age and the interpregnancy interval. (3) Results: A total of 39,780 women were included in the study, 5.2% (n = 2088) had PTD in their second pregnancy. Women with PTD, as compared to controls (i.e., delivered at term in second pregnancy), were more likely to have the following complications in their first pregnancy: perinatal mortality (0.4% vs. 1.0%), small for gestational age (12.4% vs. 8.1%), and preeclampsia (7.6% vs. 5.7%). In the multivariable model, after adjusting for maternal age, interpregnancy interval and co-morbidities, having any one of these first pregnancy complications was independently associated with an increased risk for PTD (adjusted OR = 1.44; 95%CI 1.28–1.62), and the risk was greater if two or more complications were diagnosed (adjusted OR = 2.09; 95%CI 1.47–3.00). These complications were also risk factors for early PTD (<34 gestational weeks), PTD with a systematic infectious disease in the background, and possibly with spontaneous PTD. (4) Conclusions: First pregnancy complications are associated with an increased risk for PTD in the subsequent pregnancy. First pregnancy, although ending at term, may serve as a window of opportunity to identify women at risk for future PTD.