The developmental origins of behavior, health, and disease (DOBHaD) hypothesis examines the short- and long-term effects of environmental conditions early in life on phenotypic variations in behavior, health, and disease. The prenatal and early postnatal periods are times of great opportunity and considerable risk, and their influence can extend over a lifetime. We review human studies on the association of maternal anxiety, depression, and stress during pregnancy with offspring self-regulation from infancy onwards. In the large majority of the studies, this association generally persisted after controlling for postnatal maternal mood and other relevant confounders in the pre- and postnatal periods. Several gestational ages were reported to be vulnerable to the long-term effects of exposure to maternal anxiety, depression, and stress during pregnancy and different mechanisms are likely to operate at different stages. Possible underlying mechanisms (e.g., epigenetic dysregulation) are just starting to be explored. We also discuss postnatal factors (e.g., child–parent attachment) that may modulate the effects of maternal anxiety, depression, and/or stress during pregnancy on offspring self-regulation. Long-term observational studies should identify molecular, neurophysiological, neuropsychological, and postnatal psychosocial factors involved in the association of maternal anxiety, depression, and stress during pregnancy with offspring self-regulation and may lead to the development of innovative prevention and intervention studies addressing maternal anxiety, depression, and/or stress during pregnancy and its potential consequences. Long-term intervention studies are needed for evaluating the efficacy of stress reduction programs to reduce maternal anxiety, depression, and stress during pregnancy and adverse somatic and mental health outcomes in the offspring.