Urban green spaces have been associated with health benefits, but few studies have evaluated the role of greenness on pregnancy outcomes. We examined how the association between short-term exposure to heat and air pollution on the probability of preterm delivery is affected by the spatial variation of socioeconomic position (SEP) and greenness. We analyzed a cohort of newborns in Rome, from April to October of 2001-2013, defining preterm as births between the 22nd and the 36th week of gestation. We used a time series approach, with maximum apparent temperature (MAT), PM10, NO2, and O3 as exposure variables. As greenness indicators, we considered maternal residential proximity to green spaces and the Normalized Difference Vegetation Index (NDVI) within a 100 m buffer around each woman's residential address. We enrolled 56,576 newborns (5.1% preterm). The effect of a 1 degrees C increase in temperature on the daily number of preterm births was higher in women with low SEP (+2.49% (90% CI: 1.29-3.71)) and among those living within 100 m from green spaces (+3.33% (90% CI: 1.82-4.87)). No effect modification was observed for NDVI or PM10. SEP was an important effect modifier of the heat-preterm birth relationship. The role of greenness in modifying this association between heat and preterm delivery should be further investigated.