Background and Aim Literature evaluating association between neonatal morbidity and immigrant status presents contradictory results. Poorer compliance with prenatal care and greater social risk factors among immigrants could play roles as major confounding variables, thus explaining contradictions. We examined whether prenatal care and social risk factors are confounding variables in the relationship between immigrant status and neonatal morbidity. Methods Retrospective cohort study: 231 pregnant African immigrant women were recruited from 2007–2010 in northern Spain. A Spanish population sample was obtained by simple random sampling at 1:3 ratio. Immigrant status (Spanish, Sub-Saharan and Northern African), prenatal care (Kessner Index adequate, intermediate or inadequate), and social risk factors were treated as independent variables. Low birth weight (LBW < 2500 grams) and preterm birth (< 37 weeks) were collected as neonatal morbidity variables. Crude and adjusted odds ratios (OR) were estimated by unconditional logistic regression with 95% confidence intervals (95% CI). Results Positive associations between immigrant women and higher risk of neonatal morbidity were obtained. Crude OR for preterm births in Northern Africans with respect to nonimmigrants was 2.28 (95% CI: 1.04–5.00), and crude OR for LBW was 1.77 (95% CI: 0.74–4.22). However, after adjusting for prenatal care and social risk factors, associations became protective: adjusted OR for preterm birth = 0.42 (95% CI: 0.14–1.32); LBW = 0.48 (95% CI: 0.15–1.52). Poor compliance with prenatal care was the main independent risk factor associated with both preterm birth (adjusted OR inadequate care = 17.05; 95% CI: 3.92–74.24) and LBW (adjusted OR inadequate care = 6.25; 95% CI: 1.28–30.46). Social risk was an important independent risk factor associated with LBW (adjusted OR = 5.42; 95% CI: 1.58–18.62). Conclusions Prenatal care and social risk factors were major confounding variables in the relationship between immigrant status and neonatal morbidity.