We have studied the associations between exhaust particles and birth weight. Adjustments were made for ozone and potential confounding factors at the individual level. The study included all singletons conceived between August 2003 and February 2013 with mothers living in Greater Stockholm. We obtained record-based register data from the Swedish Medical Birth Register. Data concerning the parents were provided by Statistics Sweden. Exposure levels for nearly 187,000 pregnancies were calculated using a validated air quality dispersion model with input from a detailed emission database. A higher socioeconomic status was associated with higher levels of exhaust particles at the home address. In this region, with rather low air pollution levels, the associations between levels of exhaust particles and birth weight were negative for all three of the studied exposure windows (i.e., first and second trimester and full pregnancy). For the entire pregnancy, the linear decrease in birth weight was 7.5 grams (95% CI-12.0; -2.9) for an increase in exposure, corresponding to the inter quartile range (IQR = 209 ng/m3). We also found that the risk of being born small for gestational age increased with the level of exhaust particles in all three exposure windows, but these associations were not statistically significant.