Fetal exposure to elevated levels of glucocorticoids can occur naturally when maternal glucocorticoids are elevated in times of stress or when exogenous glucocorticoids are administered. Epidemiological studies and animal models have shown that, whereas short-term benefits may be associated with fetal glucocorticoid exposure, long-term deleterious effects may arise. This review compares the effects of exposure to natural versus synthetic glucocorticoids and considers the ways in which the timing of the exposure and the sex of the fetus may influence outcomes. Some of the long-term effects of glucocorticoid exposure may be explained by epigenetic mechanisms.