Background: Previous studies suggest that eicosapentaenoic acid (EPA), docosahexaenoic acid (DHA), and alpha-linolenic acid (ALA), may decrease the risk of preeclampsia, but many suffer from important methodological limitations. Methods: We prospectively examined the association between fat intake during pregnancy and preeclampsia and among 65,220 singleton pregnancies in the Danish National Birth Cohort (1996–2002). Women were asked to report their diet around gestation week 20 with a food frequency questionnaire. Preeclampsia diagnosis was obtained via linkage with the Danish National Patient Registry. We estimated relative risks (RR) and 95% confidence intervals (95% CI) of preeclampsia and severe preeclampsia according to fat intake using logistic regression models with generalized estimating equations to account for repeated pregnancies per woman while adjusting for potential confounders. Results: We documented 1302 cases of preeclampsia, including 301 cases of severe preeclampsia. Intake of long-chain omega-3 fatty acids was associated to preeclampsia. Women in the top quintile of DHA intake had a lower risk of preeclampsia (RR 0.67 (0.51–0.89)) and severe preeclampsia (RR 0.46 (0.25–0.83)) than women in the bottom quintile. Women who met daily recommended intake of EPA+DHA according to the Dietary Guidelines for Americans (≥250 mg/day), had a lower risk of severe preeclampsia (RR 0.77 (0.60–0.99)), but not of preeclampsia (RR 0.93 (0.82–1.05)). Conversely, ALA intake was associated with higher risk of severe preeclampsia (RR 1.71 (1.07–2.75)). Conclusions: Higher intake of DHA is inversely related to preeclampsia and severe preeclampsia, whereas ALA increases the risk of severe preeclampsia among Danish women.