Extreme heat has been linked to many health outcomes, including preterm and early term birth. Weexamine associations between acute heat wave exposure and risk of preterm (PTB) (28–36 weeks) or early term (ETB) (37–38 weeks) birth, stratified by individual‐level and area‐level factors. Daily ambient mean temperature was linked to maternal residence in state vital records for preterm and early term births in California, Florida, Georgia, Kansas, Nevada, New Jersey, North Carolina, and Oregon between 1990 and 2017. Heat waves were identified during the four‐day exposure window preceding birth using the 97.5th percentile mean temperature for zip code tabulation areas (ZCTA). We used a time‐stratified case‐crossover design, restricted to the warm season (May through September) and stratified by maternal age, maternal education, ZCTA‐level impervious land cover or social deprivation index. We pooled estimated odds ratios across states using inverse‐variance weighting. The PTB and ETB analyses included up to 945,836 and 2,966,661 cases, respectively. Heat‐related ETB risk was consistently highest among women <25 years of age, women with ≤high school education, and women living in areas of higher social deprivation and impervious land cover. PTB associations were also elevated in these subgroups, but positive associations were also observed among older, more educated mothers, and in areas with less social deprivation. Across all subgroups and outcomes, the change in odds associated with heat waves ranged from no increase to a 7.9% increase. Heat‐related early term birth risk is enhanced among subgroups associated with socioeconomic disadvantage, but patterns of vulnerability were less consistent for preterm birth.