This study examined the relationship between smoking, drinking and heavy caffeine use (> three caffeinated drinks per day) among pregnant women who reported smoking cigarettes and drinking alcohol prior to conception. Demographic predictors of smoking, drinking and caffeine use during pregnancy were also identified. Pregnant women (n = 237) attending a university-based, public clinic were identified during screening for a larger intervention study. Logistic regression analyses revealed a significant relationship between pregnancy smoking and drinking (OR= 8.1), as well as between smoking and harmful caffeine use (OR=3.1). Age predicted smoking and drinking in pregnancy, with older women being more likely to use both substances. Caucasian women were more likely to continue smoking, while African-American women were more likely to continue drinking. Increased attention should be paid to the co-occurrence of multiple health risk behaviours during pregnancy and to the specific needs of subgroups of high-risk women.