There is much interest in the role of innate immune system proteins (antimicrobial peptides) in the inflammatory process associated with spontaneous preterm birth (sPTB). After promising pilot work, we aimed to validate the association between the antimicrobial peptides/proteins elafin and cathelicidin and sPTB. An observational cohort study of 405 women at high-risk, and 214 women at low-risk of sPTB. Protein concentrations of elafin and cathelicidin, and the enzyme human neutrophil elastase (HNE) were measured in over 1,000 cervicovaginal fluid (CVF) samples (10 to 24 weeks’ gestation). Adjusted CVF cathelicidin and HNE concentrations (but not elafin) were raised in high-risk women who developed cervical shortening and who delivered prematurely and were predictive of sPTB < 37 weeks, with an area under the curve (AUC) of 0.75 (95% CI 0.68 to 0.81) for cathelicidin concentration at 14 to 15+6 weeks. Elafin concentrations were affected by gestation, body mass index and smoking. CVF elafin in early pregnancy was modestly predictive of sPTB < 34 weeks (AUC 0.63, 0.56–0.70). Alterations in innate immune response proteins in early pregnancy are predictive of sPTB. Further investigation is warranted to understand the drivers for this, and their potential to contribute towards clinically useful prediction techniques.