Results of studies on perfluoroalkyl substances (PFASs) and thyroid hormones (THs) are heterogeneous, and the mechanisms underlying the action of PFASs to target THs have not been fully characterized. We examined the relation between first-trimester maternal PFAS and TH levels and the role played by polymorphisms in the iodothyronine deiodinase 1 (DIO1) and 2 (DIO2) genes in this association. Our sample comprised 919 pregnant Spanish women (recruitment = 2003–2008) with measurements of perfluorohexanesulfonic acid (PFHxS), perfluorooctanoic acid (PFOA), perfluorooctanesulfonic acid (PFOS), perfluorononanoic acid (PFNA), thyroid-stimulating hormone (TSH), total triiodothyronine (TT3), and free thyroxine (FT4), and we genotyped for single-nucleotide polymorphisms in the DIO1 (rs2235544) and DIO2 (rs12885300) genes. We performed multivariate regression analyses between PFASs and THs and included the interaction term PFAS–genotypes in the models. PFHxS was associated with an increase in TSH (% change in outcome [95% CI] per 2-fold PFAS increase = 6.09 [−0.71, 13.4]), and PFOA and PFNA were associated with a decrease in TT3 (−7.17 [−13.5, −0.39] and −6.28 [−12.3, 0.12], respectively). We found stronger associations between PFOA, PFNA, and TT3 for DIO1–CC and DIO2–CT genotypes, although interaction p-values were not significant. In conclusion, this study found evidence of an inverse association between PFOA and TT3 levels. No clear effect modification by DIO enzyme genes was observed.