Due to their short lifespan, rapid maturation, strong coupling to lower trophic levels, and quickly replenishing resources, populations of small pelagic fishes are often excellent bio-indicators of climate-driven changes in marine systems worldwide. This was particularly evident during each of the survey periods undertaken in this study in the Laizhou Bay of Bohai Sea, where the eggs and larvae of small pelagics were the main components of the ichthyoplankton community (1982–2019). The major small pelagics taxa in the Laizhou Bay were Japanese anchovy Engraulis japonicus, dotted gizzard shad Konosirus punctatus, Japanese sardinella Sardinella zunasi, kammal thryssa Thryssa kammalensis, scaly half-fin anchovy Setipinna tenuifilis, and Japanese halfbeak Hyporhamphus sajori. Based on a pooled analysis of the historical data of almost 40 years and combined with the field survey of current fish habitat conditions, a long-term data set of ichthyoplankton with major habitat factors in the Laizhou Bay was built. Firstly, general additive modeling and general line modeling were used to interpret the correlations between changes in ecological density number in early life history (EDN-ELH) and habitat environmental factors for each of the small pelagics taxa, and species-specific spawning habitat optima (temperature, salinity and depth) were also examined. Secondly, the decadal distribution patterns of the spawning ground or nursing area of each of the small pelagics would be plotted by using the interpolation method in Geostatistical Analyst of ArcGIS Software. Third, the time series analysis and canonical correspondence analysis would be used to examine the synchrony of variation patterns, by comparing time series data of EDN-ELH statistics of major small pelagics along with climate indices e.g., Pacific Decadal Oscillation (PDO), Multivariate ENSO Index (MEI), etc., monthly runoff of the Yellow River (MRYR) and annual fishing effort in the whole Bohai Sea from 1982 to 2019. The results conveyed that spawning activities of the small pelagics were concentrated in the water temperature increasing season. The main spawning period of the Japanese anchovy and dotted gizzard shad was slightly earlier. Other species such as the kammal thryssa, Japanese sardinella, Japanese halfbeak and scaly half-fin anchovy spawned later. Each of the small pelagics taxa examined in the Laizhou Bay adapts to a wide range of optimal temperatures and seawater salinity for spawning (eurytherm and euryhaline species). There was a species-specific spatio-temporal distribution pattern of the spawning ground or nursery area of each of the small pelagics in the Laizhou Bay, which was influenced by water diluted by the Yellow River and the offshore water. Each small pelagics taxa adapts to spawn at the low salinity estuarine and nearshore waters (except Japanese anchovy), with a general near-shore distribution trend when comparing the location of its nursery areas to the spawning ground. EDN-ELH of each small pelagics taxa was in interannual and decadal fluctuation, as was the distribution patterns of its spawning ground or nursing areas. Compared with the 1980s, EDN-ELH of Japanese anchovy, dotted gizzard shad and Japanese sardinella had decreased significantly, while EDN-ELH of kammal thryssa increased significantly, and half-fin anchovy and Japanese halfbeak remained constant. In the PDO and MEI warm phase, EDN-ELH of Japanese anchovy and Japanese halfbeak remained at a higher level. In contrast, in the PDO and MEI cold phase, EDN-ELH of kammal thryssa, scaly half-fin anchovy, Japanese sardinella and dotted gizzard shad remained at a higher level. MRYR had significant effects on the EDN-ELH of all the small pelagics except scaly half-fin anchovy. The EDN-ELH of Japanese anchovy and Japanese sardinella was significantly negatively correlated with the MRYR, while dotted gizzard shad, kammal thryssa and Japanese halfbeak was positively correlated with the MRYR. Fishing has a significant effect on EDN-ELH of Japanese anchovy and dotted gizzard shad, due to high fishing intensity applied to their spawning stock outside of the closed season before 2017. This study interpreted the recruitment variation and “bottom-up” or “top-down” factors that may affect the early life stage recruitment process. The factors fill the gaps in knowledge that currently limit our ability to understand the key mechanisms involved in responses of small pelagic fish species to environmental changes in Laizhou Bay of the Bohai Sea.