Vitamin D deficiency during pregnancy has been linked to perinatal adverse outcomes. Studies conducted to date have recommended assessing interactions with other vitamin D-related metabolites to clarify this subject. We aimed to evaluate the association of vitamin D deficiency during early pregnancy with preterm birth. Secondary outcomes included low birth weight and small for gestational age. Additionally, we explored the role that parathyroid hormone, calcium and phosphorus could play in the associations. We conducted a prospective cohort study comprising 289 pregnant women in a hospital in Granada, Spain. Participants were followed-up from weeks 10–12 of gestation to postpartum. Serum 25-hydroxyvitamin D, parathyroid hormone, calcium, and phosphorus were measured within the first week after recruitment. Pearson’s _2 test, Mann–Whitney U test, binary and multivariable logistic regression models were used to explore associations between variables and outcomes. 36.3% of the participants were vitamin D deficient (<20 ng/mL). 25-hydroxyvitamin D concentration was inversely correlated with parathyroid hormone (_ = -0.146, p = 0.013). Preterm birth was associated with vitamin D deficiency in the multivariable model, being this association stronger amongst women with parathyroid hormone serum levels above the 80th percentile (adjusted odds ratio (aOR) = 6.587, 95% CI (2.049, 21.176), p = 0.002). Calcium and phosphorus were not associated with any studied outcome. Combined measurement of 25-hydroxyvitamin D and parathyroid hormone could be a better estimator of preterm birth than vitamin D in isolation.