Lead researcher Dr Asa Neuman said: 'Teens and young women should be encouraged to quit smoking before getting pregnant.'
Dr Neuman added: 'These results indicate that the harmful effects of maternal smoking on the fetal respiratory system begin early in pregnancy, perhaps before the woman is even aware that she is pregnant.'
The study from researchers at the Karolinska Institutet in Stockholm, Sweden, analysed data from 21,600 children, including 735 whose mother smoked during pregnancy.
Among children aged 4-6 years maternal smoking raised the risk of wheezing by 39% and the risk of asthma by 65%.
The risk of wheezing and asthma was raised among women who smoked in the first trimester, but not among those who did so during the third trimester or the first year after birth.
Dr Neuman said: 'These children were at increased risk for wheeze and asthma at preschool age. Furthermore, the likelihood of developing wheeze and asthma increased in a significant dose-response pattern in relation to maternal cigarette consumption during the first trimester.'