The literature shows associations between maternal exposures to PM2.5 and adverse pregnancy outcomes. There are few data from Latin America. We have examined PM2.5 and pregnancy outcomes in Lima. The study included 123,034 births from 2012 to 2016, at three public hospitals. We used estimated daily PM2.5 from a newly created model developed using ground measurements, satellite data, and a chemical transport model. Exposure was assigned based on district of residence (n = 39). Linear and logistic regression analyzes were used to estimate the associations between air pollution exposure and pregnancy outcomes. Increased exposure to PM2.5 during the entire pregnancy and in the first trimester was inversely associated with birth weight. We found a decrease of 8.13 g (−14.0; −1.84) overall and 18.6 g (−24.4, −12.8) in the first trimester, for an interquartile range (IQR) increase (9.2 µg/m3) in PM2.5. PM2.5 exposure was positively associated with low birth weight at term (TLBW) during entire pregnancy (OR: 1.11; 95% CI: 1.03–1.20), and at the first (OR: 1.11; 95% CI: 1.03–1.20), second (OR: 1.09; 95% CI: 1.01–1.17), and third trimester (OR: 1.10; 95% CI: 1.02–1.18) per IQR (9.2 µg/m3) increase. Higher exposure to PM2.5 was also associated with increased risk of small for gestational age (SGA). There were no statistically significant associations between PM2.5 exposure and preterm births (PTB). Exposure to higher concentrations of PM2.5 in Lima may decrease birth weight and increase the frequency of TLBW and SGA. Our study was inconsistent with the literature in finding no associations with preterm birth.