Preeclampsia is a hypertensive disorder that is usually diagnosed after 20 weeks' gestation. Despite the deleterious effect of smoking on cardiovascular disease, it has been frequently reported that smoking has a protective effect on preeclampsia risk and biological explanations have been proposed. However, in this manuscript, we present multiple sources of bias that could explain this association. First, key concepts in epidemiology are reviewed: confounder, collider, and mediator. Then, we describe how eligibility criteria, losses of women potentially at risk, misclassification, or performing incorrect adjustments can create bias. We provide examples to show that strategies to control for confounders may fail when they are applied to variables that are not confounders. Finally, we outline potential approaches to manage this controversial effect. We conclude that there is probably no single epidemiological explanation for this counterintuitive association.