•Glucocorticoid exposure in uteroaffects development through epigenetic mechanisms.•Excess glucocorticoid exposure in utero creates heritable changes in epigenome.•Inheritance occurs over multiple generations via maternal and paternal transmission.•Effects of excess glucocorticoid exposure in utero are sex-specific. The embryo and fetus are highly responsive to the gestational environment. Glucocorticoids (GC) represent an important class of developmental cues and are crucial for normal brain development. Levels of GC in the fetal circulation are tightly regulated. They are maintained at low levels during pregnancy, and increase rapidly at the end of gestation. This surge in GC is critical for maturation of the organs, specifically the lungs, brain and kidney. There are extensive changes in brain epigenetic profiles that accompany the GC surge, suggesting that GC may drive regulation of gene transcription through altered epigenetic pathways. The epigenetic profiles produced by the GC surge can be prematurely induced as a result of maternal or fetal stress, as well as through exposure to synthetic glucocorticoids (sGC). This is highly clinically relevant as 10% of pregnant women are at risk for preterm labour and receive treatment with sGC to promote lung development in the fetus. Fetal overexposure to GC (including sGC) has been shown to cause lasting changes in the regulation of the hypothalamic–pituitary–adrenal (HPA) axis leading to altered stress responses, and mood and anxiety disorders in humans and animals. In animal models, GC exposure is associated with transcriptomic and epigenomic changes that influence behaviour, HPA function and growth. Importantly, programming by GC results in sex-specific effects that can be inherited over multiple generations via paternal and maternal transmission.