Prenatal maternal nutrient supplementation has been reported to be associated with offspring obesity, but the reports are inconsistent and have mainly ignored the differences between the total children population and children born small for gestational age (SGA). This study aimed to examine the joint effects of folic acid, iron, and multivitamin supplementation during pregnancy on the risk of obesity in preschoolers born SGA. A total of 8918 children aged 3–6.5 years born SGA were recruited from Longhua District in Shenzhen of China in 2021. Their mothers completed a structured questionnaire about the child’s and parents’ socio-demographic characteristics, maternal prepregnant obesity, and mothers’ prenatal supplementation of folic acid, iron, and multivitamin. In addition, the children’s current weight and height were measured by trained nurses. Logistic regression models were used to analyze the associations between prenatal supplementations and the current presence of childhood obesity. After controlling for potential confounders, the results of the logistic regression analysis showed that prenatal supplement of folic acid (OR = 0.72, 95% CI = 0.55~0.93) was associated with a lower likelihood of being an obese preschooler born SGA. In contrast, the ingestion of multivitamin or iron supplements during pregnancy did not seem to be related to the likelihood of childhood obesity in preschoolers born SGA. Moreover, cross-over analysis of prenatal folic acid and multivitamin obtained significant negative associations of prenatal folic acid supplement only (OR = 0.73, 95% CI = 0.55~0.97) and combination supplement of folic acid and multivitamin (OR = 0.67, 95% CI = 0.50~0.90) with obesity of preschoolers born SGA; while the cross-over analysis of prenatal folic acid and iron observed significant negative associations between obesity of preschoolers born SGA and a combination supplement of folic acid and iron (OR = 0.70, 95% CI = 0.52~0.96). Furthermore, the aforementioned significant associations were only found in girls and not in boys when the analyses were stratified by sex. Our findings suggest that the prenatal folic acid supplementation may decrease the risk of obesity in preschool girls born SGA, and that this effect may be modified by prenatal multivitamin or iron supplementation.