University of Aberdeen researchers found the link remained even after taking account of the smoking habits of the women themselves who miscarried.
But no link was found between exposure to cigarette smoke in the womb and a decrease in fertility.
The study examines data from 12,321 women born before 31 December 1972.
The university said an analysis of the data also showed that women exposed to cigarette smoke in the womb were more likely to have a pregnancy than those whose mothers did not smoke.
Women exposed to cigarette smoke in the womb were also likely to have a pregnancy earlier than those not exposed.
Dr Sohinee Bhattacharya, a pregnancy and childbirth expert from the University of Aberdeen, said previous research had suggested there may be a "small decrease" in the fertility of women whose mothers smoked in pregnancy.
"This study used a databank in Aberdeen to look at the birth records of more than 12,000 women and followed them through for 40 years to see whether being born to a smoker had any impact on women's future fertility," she said.
"The study did not find a link between mothers' smoking and a decrease in fertility in their daughters.
"Women whose mothers smoked were more likely to have a pregnancy, but this study suggests that this could simply be linked to the fact that they were also more likely to get pregnant at an earlier age and could be related to socioeconomic status.
"Worryingly the study did find a significant increase in the chances of having a miscarriage among the women whose mothers had smoked when pregnant with them. "
The lead author of the paper, Sam Tweed, completed the work as part of his undergraduate degree and graduated from the University of Aberdeen's Medical School in June.
The research was published in the Human Reproduction Open journal.

Mr Osborne is seen as one of the frontrunners to replace David Cameron, who has said he will not seek a third term as prime minister.
He did not deny being a contender during an interview with BBC political editor Laura Kuenssberg in Berlin.
But he said he was "very focused" on the UK's EU renegotiations.
This involves "delivering the best possible deal for Britain, the best possible economic plan for Britain, and getting all those decisions right", he added.
Asked "what's wrong with being ambitious", the chancellor said he was "ambitious for Britain", listing his current roles and adding: "That is a huge task. I'm extremely honoured that I've been asked to undertake it, but it's all-consuming."
Mr Osborne was one of three possible replacements tipped by Mr Cameron when he announced he would not seek a third term, along with Home Secretary Theresa May and London Mayor Boris Johnson.
He is in Berlin to set out the UK's economic demands ahead of a planned in/out referendum on membership of the European Union.
Women exposed to cigarette smoke while in their mothers' wombs are more likely to experience miscarriage as adults, according to a study.
[NEXT_CONCEPT]
Chancellor George Osborne avoided questions on his Conservative Party leadership ambitions, saying his current job was "all-consuming".