Objective: Determine whether gestational age of 17-hydroxyprogesterone caproate (17-OHPC) initiation is associated with preterm birth (PTB) risk. Study design: We performed a retrospective cohort study using MarketScan® data. The primary outcome was PTB < 37 weeks. Rates of PTB were compared between medication initiation at 16–21 weeks versus 21–29 weeks. The association between compliance with weekly 17-OHPC injections and preterm birth rate was tested after adjusting for potential confounding variables. Result: In all 3374 pregnancies met inclusion criteria. Women with an early 17-OHPC start were less likely to deliver preterm than those with a late start (aRR 0.88; 95%CI 0.79–0.97; p = 0.02). Less compliant patients receiving <25% of recommended doses had a higher PTB rate than those receiving >85% of recommended doses (aRR 1.5; 95%CI 1.2–1.7; p < 0.01). Conclusion: There is an association between both early 17-OHPC initiation and compliance with reduced rates of PTB.