There are mounting evidences indicated that maternal exposure to outdoor air pollutants in pregnancy affects children’s neural development, but the researches on children’s behavioral difficulties are seldom. We explored the association between maternal exposure to outdoor air pollution during different trimesters of pregnancy and the prevalence of behavioral difficulties among 657 preschool children aged 3–4 from three kindergartens in Wuhan, China. This is a cross-sectional study. Children’s behavioral difficulties were assessed by the Strengths and Difficulties Questionnaire (SDQ) (reported by parents). Maternal exposure to outdoor air pollutants during pregnancy were estimated based on the daily average measured concentration levels from ground monitoring stations. Potential confounding factors including children-related, maternal, and socio-economic status (SES) were adjusted in the study. We calculated the prevalence of each type of behavioral difficulties and used binary logistic regression method to estimate the crude odds ratio (cOR), adjusted odds ratio (aOR), and corresponding 95% confidence intervals (95% CIs) for 1 μg/m³ increase in each air pollutant during every exposure window in single- and two-pollutant models. The prevalence of participants’ total behavioral difficulties was 9.6%. In single-pollutant models, during full gestation, positive associations were observed between exposure to NO2 (aOR = 1.204, 95% CI 1.042, 1.392), particle matter (PM)10 (aOR = 1.070, 95% CI 1.018, 1.125), PM2.5 (aOR = 1.095, 95% CI 1.021, 1.176) and total difficulties, exposure to PM10 (aOR = 1.040, 95% CI 1.001, 1.081), PM2.5 (aOR = 1.053, 95% CI 1.000, 1.109) and prosocial behavior, respectively. In the first trimester, exposure to SO2 (aOR = 1.047, 95% CI 1.009, 1.086), NO2 (aOR = 1.039, 95% CI 1.013, 1.066), PM10 (aOR = 1.013, 95% CI 1.004, 1.023), and PM2.5 (aOR = 1.016, 95% CI 1.004, 1.028) were all positively associated with total difficulties. The associations between second and third trimesters’ exposure to all pollutants and outcomes were not statistically significant. However, in the two-pollutant models, second trimester exposure to PM2.5 (aOR = 1.078, 95%CI 1.023, 1.137) was positively associated with total behavioral difficulties after adjusting for PM10. Exposure to outdoor air pollutants SO2, NO2, PM10, and PM2.5 during pregnancy may be associated with behavioral difficulties, especially in the first trimester.