Objective To compare the performance of mid upper arm circumference (MUAC) and body mass index (BMI) for prediction of small for gestational age (SGA) in Zambia. Methods This is a secondary analysis of an ongoing clinical cohort that included women with a single gestation and MUAC measured before 24 weeks of pregnancy. We assessed relationships between maternal MUAC and birth weight centile using regression. The performance of MUAC and BMI to predict SGA was compared using receiver operating characteristic curves and the effect of maternal HIV was investigated in sub‐group analyses. Results Of 1117 participants, 847 (75%) were HIV‐negative (HIV−) and 270 (24%) were HIV‐positive (HIV+). Seventy‐four (7%) delivered severe SGA infants (<3rd centile), of whom 56 (76%) were HIV− and 18 (24%) were HIV+ (odds ratio OR 1.01, 95% confidence interval CI 0.58–1.75). MUAC was associated with higher birth weight centile (+1.2 centile points, 95% CI 0.7–1.6; P < 0.001); this relationship was stronger among HIV+ women (+1.7 centile points, 95% CI 0.8–2.6; P < 0.001) than HIV− women (+0.9 centile points, 95% CI 0.4–1.4; P = 0.001). The discriminatory power was similar, albeit poor (area under the curve AUC < 0.7), between MUAC and BMI for the prediction of SGA. In stratified analysis, MUAC and BMI showed excellent discrimination predicting severe SGA among HIV+ (AUC 0.83 and 0.81, respectively) but not among HIV− women (AUC 0.64 and 0.63, respectively). Conclusion Maternal HIV infection increased the discrimination of both early pregnancy MUAC and BMI for prediction of severe SGA in Zambia. Clinical Trial Number ClinicalTrials.gov (NCT02738892). Synopsis Maternal mid‐upper arm circumference measured early in pregnancy is associated with small for gestational age with predictive performance similar to body mass index.