Aims: To study the associations between and timing of psychosocial and physical work factors and health status on sick leave among Danish pregnant employees. Methods: A total of 910 pregnant women completed a questionnaire in gestational weeks 12 (baseline) and 27 (follow-up). Information about psychosocial and physical work factors and health status was obtained at baseline. Associations with sick leave ⩾14 days were estimated using logistic regression. Further, the impact of timing and duration of exposure on sick leave were examined. Results: A total of 133 women (14.6%) reported ⩾14 days of sick leave at follow-up (27 weeks of gestation). Work-related risk factors for sick leave were high work pace, low influence, low recognition, low job satisfaction, conflict in work−family balance, standing/walking, heavy lifting, and shift work/night shift. Health-related risk factors were burnout, stress, possibility of depression, low work ability, previous sick leave, and poor self-rated health. Being exposed to work-related risk factors during the first 27 weeks of pregnancy or at follow-up increased the risk of sick leave compared with those not exposed at any time or only exposed at baseline. Poor health status increased the risk if women were exposed in the first 27 weeks of pregnancy; however, high possibility of depression was also a risk factor when experienced in early pregnancy. Conclusions: Psychosocial and physical work-related risk factors and poor health status were associated with more sick leave in pregnant employees. Early adjustment of work-related risk factors at the workplace is needed to reduce sick leave.