This study investigated the scale of difference in stillbirth and neonatal death rates in Western Australia (1998–2010) by maternal ethnicity. Aboriginal and/or Torres Strait Islander (Indigenous) mothers, African mothers and mothers from ‘Other’ ethnic backgrounds were found to have increased risk of stillbirth compared with Caucasian mothers. Babies of Indigenous mothers also had increased risk of neonatal death. The gap between the stillbirth and neonatal death rates for Indigenous mothers and non‐Indigenous mothers did not close over the study period.