Assessing factors that influence chronic stress biomarkers like hair cortisol concentrations (HCCs) in pregnancy is critical to prevent adverse pregnancy outcomes. Thus, we aimed to identify correlates of HCC preconception and during pregnancy. 2,581 pregnant women participated in the study. HCC was available at four time periods: pre-pregnancy (0–3 months preconception, n = 1,023), and in the first (1–12 weeks, n = 1,734), second (13–24 weeks, n = 1,534), and third (25–36 weeks, n = 835) trimesters. HCC was assessed using liquid chromatography tandem mass spectrometry (LC-MS/MS). Sociodemographic, pregnancy- and hair-related characteristics, and measures of psychosocial stress, were interrogated as potential correlates of HCC. Spearman correlations, paired t-tests, and ANOVA were used to assess differences in log-transformed values of HCC (logHCC) across maternal characteristics. Multivariable linear regressions were used to identify the correlates of HCCs after adjusting for confounders. Mean logHCC values increased across the four prenatal periods (P < 0.001). In multivariable analyses, pre-pregnancy BMI was consistently associated with all HCCs, while gestational age, economic hardship, hair dyeing, and depression, showed time-specific associations with HCC. In conclusion, this study showed evidence of factors influencing HCC levels before and during pregnancy. The most consistent association was seen with pre-pregnancy BMI. Depression was also associated with HCC concentrations.