IMPORTANCE: Raising the price of cigarettes by increasing taxation has been associated with improved perinatal and child health outcomes. Transnational tobacco companies have sought to undermine tobacco tax policy by adopting pricing strategies that maintain the availability of budget cigarettes. OBJECTIVE: To assess associations between median cigarette prices, cigarette price differentials, and infant mortality across the European Union. DESIGN, SETTING, AND PARTICIPANTS: A longitudinal, ecological study was conducted from January 1, 2004, to December 31, 2014, of infant populations in 23 countries (comprising 276 subnational regions) within the European Union. INTERVENTIONS: Median cigarette prices and the differential between these and minimum cigarette prices were obtained from Euromonitor International. Pricing differentials were calculated as the proportions (%) obtained by dividing the difference between median and minimum cigarette price by median price. Prices were adjusted for inflation. MAIN OUTCOMES AND MEASURES: Annual infant mortality rates. Associations were assessed using linear fixed-effect panel regression models adjusted for smoke-free policies, gross domestic product, unemployment rate, education, maternal age, and underlining temporal trends. RESULTS: Among the 53 704 641 live births during the study period, an increase of €1 (US $1.18) per pack in the median cigarette price was associated with a decline of 0.23 deaths per 1000 live births in the same year (95% CI, –0.37 to –0.09) and a decline of 0.16 deaths per 1000 live births the following year (95% CI, –0.30 to –0.03). An increase of 10% in the price differential between median-priced and minimum-priced cigarettes was associated with an increase of 0.07 deaths per 1000 live births (95% CI, 0.01-0.13) the following year. Cigarette price increases across 23 European countries between 2004 and 2014 were associated with 9208 (95% CI, 8601-9814) fewer infant deaths; 3195 (95% CI, 3017-3372) infant deaths could have been avoided had there been no cost differential between the median-priced and minimum-priced cigarettes during this period. CONCLUSIONS AND RELEVANCE: Higher cigarette prices were associated with reduced infant mortality, while increased cigarette price differentials were associated with higher infant mortality in the European Union. Combined with other evidence, this research suggests that legislators should implement tobacco tax and price control measures that eliminate budget cigarettes.