Objective <p>Previous research suggests that heavy metal exposure may lead to pregnancy loss, but findings have varied. This study focuses on examining the relationship between heavy metal exposure (manganese, selenium, cadmium, lead, mercury) and pregnancy loss.</p> Methods <p>Utilizing data from the 2011–2016 National Health and Nutrition Examination Survey (NHANES), this study included women between 20–80&#xa0;years with complete pregnancy history, heavy metal exposure data, and covariate information. Pregnancy loss was self-reported by participants. Blood levels of manganese, selenium, cadmium, lead, and mercury were measured using mass spectrometry. Logistic regression, smooth curve fitting, and weighted quantile sum (WQS) regression were employed to investigate the association between heavy metal exposure and pregnancy loss. Subgroup analyses were conducted to verify the heterogeneity of the results.</p> Results <p>A total of 3623 eligible women were included, with 1607 reporting pregnancy loss. Blood mercury levels were positively correlated with a higher risk of pregnancy loss (odds ratio 1.06, 95% confidence interval 1.03–1.09, <i>P</i> &lt; 0.001), which remained significant in the two adjusted models. A nonlinear association between mercury levels and pregnancy loss was identified. The heterogeneity in this association was influenced by race, education level, body mass index, and age at menarche. No significant links were detected between pregnancy loss and cadmium, lead, manganese, and selenium. WQS regression highlighted the critical role of mercury in pregnancy loss.</p> Conclusion <p>Mercury exposure may contribute to a higher risk of pregnancy loss. Reducing heavy metal pollution and minimizing mercury exposure could potentially help improve pregnancy outcomes.</p>