(1) Background: To explore the correlation between central and peripheral thyroid sensitivity indices and macrosomia in euthyroid pregnant women and to provide clinical basis for the prevention and treatment of macrosomia. (2) Methods: This study is a prospective study. A total of 1176 euthyroid women in early pregnancy in the obstetrics department of Peking University International Hospital from December 2017 to March 2019 were enrolled. The women were divided into two groups, namely the macrosomia and non-macrosomia groups, according to birth weight. (3) Results: The level of free triiodothyronine (FT3), thyroid-stimulating hormone (TSH), thyroid feedback quantile-based index (TFQI), thyrotropin-T4 resistance index (TT4RI), thyroid-stimulating hormone index (TSHI), and free triiodothyronine/free thyroxine (FT3/FT4) in the macrosomia group was higher than that in the non-macrosomia group (p< 0.05). The multivariate logistic regression model showed that FT3, TFQI, TT4RI, TSHI, and FT3/FT4 were independent risk factors for macrosomia in early pregnancy after adjusting for age, body mass index, parity, blood pressure, blood glucose, and blood lipid levels (p< 0.05, respectively). (4) Conclusions: TFQI, TT4RI, TSHI, and FT3/FT4 are independent risk factors for fetal macrosomia in early pregnancy in euthyroid women.