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Objective: Identify independent and novel risk factors for late‐preterm (28–36 weeks) and term (≥37 weeks) stillbirth and explore development of a risk‐prediction model. Design: Secondary analysis of an Individual Participant Data (IPD) meta‐analysis investigating modifiable stillbirth risk factors. Setting: An IPD database from five case–control studies in New Zealand, Australia, the UK and an international online study. Population: Women with late‐stillbirth (cases, n = 851), and ongoing singleton pregnancies from 28 weeks' gestation (controls, n = 2257). Methods: Established and novel risk factors for late‐preterm and term stillbirth underwent univariable and multivariable logistic regression modelling with multiple sensitivity analyses. Variables included maternal age, body mass index (BMI), parity, mental health, cigarette smoking, second‐hand smoking, antenatal‐care utilisation, and detailed fetal movement and sleep variables. Main outcome measures: Independent risk factors with adjusted odds ratios (aOR) for late‐preterm and term stillbirth. Results: After model building, 575 late‐stillbirth cases and 1541 controls from three contributing case–control studies were included. Risk factor estimates from separate multivariable models of late‐preterm and term stillbirth were compared. As these were similar, the final model combined all late‐stillbirths. The single multivariable model confirmed established demographic risk factors, but additionally showed that fetal movement changes had both increased (decreased frequency) and reduced (hiccoughs, increasing strength, frequency or vigorous fetal movements) aOR of stillbirth. Poor antenatal‐care utilisation increased risk while more‐than‐adequate care was protective. The area‐under‐the‐curve was 0.84 (95% CI 0.82–0.86). Conclusions: Similarities in risk factors for late‐preterm and term stillbirth suggest the same approach for risk‐assessment can be applied. Detailed fetal movement assessment and inclusion of antenatal‐care utilisation could be valuable in late‐stillbirth risk assessment. This article includes Author Insights, a video abstract available at: https://players.brightcove.net/3806881048001/default%5fdefault/index.html?videoId=6320088103112. Linked article: This article is commented on by J. Jardine, pp. 1071 in this issue. To view this mini commentary visit https://doi.org/10.1111/1471‐0528.17469. [ABSTRACT FROM AUTHOR]