Preliminary data in Europe have suggested a reduction in prematurity rates during the COVID-19 pandemic, implying that contingency measures could have an impact on prematurity rates. We designed a population-based prevalence proportion study to explore the potential link between national lockdown measures and a change in preterm births and stillbirths. Adjusted multivariate analyses did not show any decrease in preterm proportions during the lockdown period with respect to the whole prelockdown period or to the prelockdown comparison periods (2015–2019): 6.5% (95%CI 5.6–7.4), 6.6% (95%CI 6.5–6.8), and 6.2% (95%CI 5.7–6.7), respectively. Proportions of preterm live births did not change during lockdown when different gestational age categories were analyzed, nor when birthweight categories were considered. No differences in stillbirth rates among the different study periods were found: 0.33% (95%CI 0.04–0.61) during the lockdown period vs. 0.34% (95%CI 0.22–0.46) during the prelockdown comparison period (2015–2019). Conclusion : We did not find any link between prematurity and lockdown, nor between stillbirths and lockdown. Collaborative efforts are desirable to gather more data and additional evidence on this global health issue. What is Known: • Prematurity is associated with increased risk of morbidity and mortality. • Contingency measures during the COVID-19 pandemic may have an impact on reducing prematurity rates. What is New: • Prematurity and stillbirth rates remained stable in Castilla-y-León, a Spanish region, during COVID-19 lockdown. • The role of behavioral patterns and sociocultural factors in the prevention of preterm birth as a result of lockdown measures remains a subject for debate.