Informed by the theory of developmental origins of health and disease, we conducted a survey among 66,854 mother–preschooler dyads in all kindergartens within the Longhua District of Shenzhen in China for exploring the combined effect of prenatal mosquito coil smoke (MCS) exposure and early postnatal nutritional status on obesity in preschoolers. A self-administered questionnaire was completed by mothers to collect parents’ and children’s socio-demographic characteristics, prenatal MCS exposure, child nutritional status at 1–3 years, etc., and children’s heights and weights were measured at the same time. After controlling for potential confounders, a series of logistic regression models and cross-over analyses were used to examine the independent and combination effects of prenatal MCS exposure and postnatal nutritional status on preschoolers’ obesity. We found that prenatal MCS exposure significantly increased the risk of preschoolers’ obesity (AOR = 1.14, 95%CI = 1.08–1.21). Additionally, early postnatal well-nourished nutritional status also increased the risk of preschoolers’ obesity (AOR = 1.56, 95%CI = 1.47–1.66). The cross-over analysis showed that the combination of prenatal MCS exposure with early general postnatal nutrition status (AOR = 1.22, 95%CI = 1.10–1.36) and early postnatal well-nourished nutrition status (AOR = 1.81, 95%CI = 1.65–1.97), respectively, increased the risk of preschoolers’ obesity. Our results indicated that prenatal MCS exposure and early postnatal nutritional status can independently and jointly increase the risk of preschoolers’ obesity.