Background <p>Increased temperatures caused by climate change may have an adverse impact on pregnant women’s health outcomes. Understanding the disparities in heat vulnerabilities between rural and urban pregnant women (RPW and UPW) could help prioritize and develop tailored interventions to protect the most vulnerable.</p> Methods <p>We conducted an observational cohort study from 2018 to 2021 among 680 pregnant women in Tamil Nadu from six districts. We measured the wet bulb globe temperature (WBGT) exposure and Heat Strain Indicators (HSI) such as urine specific gravity and core body temperature using standardised protocols. We used a validated questionnaire to elucidate the self-reported heat strain symptoms (SHSS), adverse pregnancy outcomes (APOs), and adverse birth outcomes (ABOs).</p> Results <p>A higher percentage of RPWs had WBGT exposure (55%) above the permissible limit with an average WBGT of 26.8&#xa0;°C ± 1.0&#xa0;°C compared to the UPW (45%) with an average exposure of 26.9&#xa0;°C ± 0.8&#xa0;°C. RPWs were more likely than UPWs to report SHSS (84% vs. 71%) and HSIs (31% vs. 22%) among 680 women. After controlling for the potential confounders, heat exposed RPWs (<i>N</i> = 372) had nearly double the risk of APOs (95% CI 1.2–5.2) and thrice the risk of ABOs (95% CI 1.3–7.4). Furthermore, based upon the heat exposure during the first trimester the heat exposed RPWs (<i>N</i> = 248) had a 4-fold higher risk of miscarriages than the UPWs (95% CI 1.1–16.5). The lack of awareness and mitigation strategies against heat risk, low socioeconomic status, and reduced access to welfare facilities can contribute to RPW’s high heat risk vulnerability.</p> Conclusion <p>The study underscores the necessity to protect RPW from heat and APOs. In-depth cohort studies are required to identify risk factors and develop protective strategies for these women.</p> Trial Registration <p>Not applicable.</p>