OBJECTIVE: Conflicting evidence for the association between COVID-19 and adverse perinatal outcomes exists. This study examined the associations between maternal COVID-19 during pregnancy and adverse perinatal outcomes including preterm birth (PTB), low birth weight (LBW), small-for-gestational age (SGA), large-for-gestational age (LGA) and fetal death; as well as whether the associations differ by trimester of infection. DESIGN AND SETTING: The study used a retrospective Mexican birth cohort from the Instituto Mexicano del Seguro Social (IMSS), Mexico, between January 2020 and November 2021. PARTICIPANTS: We used the social security administrative dataset from IMSS that had COVID-19 information and linked it with the IMSS routine hospitalisation dataset, to identify deliveries in the study period with a test for SARS-CoV-2 during pregnancy. OUTCOME MEASURES: PTB, LBW, SGA, LGA and fetal death. We used targeted maximum likelihood estimators, to quantify associations (risk ratio, RR) and CIs. We fit models for the overall COVID-19 sample, and separately for those with mild or severe disease, and by trimester of infection. Additionally, we investigated potential bias induced by missing non-tested pregnancies. RESULTS: The overall sample comprised 17 340 singleton pregnancies, of which 30% tested positive. We found that those with mild COVID-19 had an RR of 0.89 (95% CI 0.80 to 0.99) for PTB and those with severe COVID-19 had an RR of 1.53 (95% CI 1.07 to 2.19) for LGA. COVID-19 in the first trimester was associated with fetal death, RR=2.36 (95% CI 1.04, 5.36). Results also demonstrate that missing non-tested pregnancies might induce bias in the associations. CONCLUSIONS: In the overall sample, there was no evidence of an association between COVID-19 and adverse perinatal outcomes. However, the findings suggest that severe COVID-19 may increase the risk of some perinatal outcomes, with the first trimester potentially being a high-risk period.