Twin pregnancies have a higher risk of preterm birth (PTB) than single pregnancies, but studies about prenatal air pollution exposure and PTB in twin pregnancies are still scarce. To explore associations of prenatal fine particulate matter (PM_2.5) exposure with PTB in twins, we collected birth data from 21 hospitals across China. Data on PM_2.5 and its compositions (NO₃⁻, BC, NH₄⁺, SO₄²⁻, and OM) were collected from Tracking Air Pollution. Generalized linear models were used to examine associations of air pollution with PTB. Each IQR increment in PM_2.5, NH₄⁺, SO₄²⁻, NO₃⁻, BC, and OM during entire pregnancy, the OR (95% CI) were 1.46 (1.34–1.59), 1.54 (1.39–1.70), 1.34 (1.25–1.44), 1.44 (1.30–1.59), 1.28 (1.20–1.37), and 1.28 (1.18–1.38), respectively. The results of trimester-specific analyses followed the patterns as seen during the entire pregnancy (all p < 0.05). The PAF of PTB attributable to PM_2.5 was 40.75% (95% CI: 32.5%, 48.26%) in the total population. Participants living in warmer regions and lower residential greenness were more susceptible to PM_2.5. Our findings suggest pregnant women should avoid severe air pollution exposure throughout pregnancy. Reducing heat exposure and increasing green spaces in communities can reduce PTB risk.