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There is accumulating evidence that prenatal exposure to air pollution disturbs fetal growth and development, but little is known about these effects in cold climates or their season-specific or joint effects. Our objective was to assess independent and joint effects of prenatal exposure to specific air pollutants on the risk of low birth weight (LBW). We utilized the 2568 children of the Espoo Cohort Study, born between 1984 and 1990 and living in the City of Espoo. We conducted stratified analyses for births during warm and cold seasons separately. We analyzed the effect estimates using multi-pollutant Poisson regression models with risk ratio (RR) as the measure of effect. The risk of LBW was related to exposure to CO (adjusted RR 1.44, 95% confidence interval [CI]: 1.04–2.00) and exposure to O₃ in the spring–summer season (1.82, 1.11–2.96). There was also evidence of synergistic effects between CO and O₃ (relative risk due to interaction (RERI), all year 1.08, 95% CI: 0.27–4.94, spring–summer 3.97, 2.17–25.85) and between PM_2.5 and O₃ (all year 0.72, −0.07–3.60, spring–summer 2.80, 1.36–19.88). We present new evidence of both independent and joint effects of prenatal exposure to low levels of air pollution in a cold climate on the risk of LBW.