In 2020, the global spread of Severe Acute Respiratory Syndrome Coronavirus 2 (SARS-CoV-2) infection (also known as COVID-19) has led to pandemic health issues with significant changes in individual and community practices. Preterm birth could be one of the risks in pregnant mothers who are infected by the SARS-CoV-2. Preterm births contribute upto 10% of all births and incur significant impact on the child health and cost to the health care system. However, the association of city lockdown during COVID-19 pandemic with the rate of preterm births is unclear. In a cohort study, we examined the association of city lockdown during the COVID-19 pandemic with the births at different gestations in three different cities. Compared with the pre-pandemic epoch, the associative relationships ranged from a decrease in all births, all births across all preterm gestations and to preterm births in moderately and late preterm gestations. We concluded that there were variable associative relationships of city lockdown during COVID-19 pandemic with preterm births. This could be related to the differences in health, societal and cultural factors, which will inspire further studies in this area.