Maternal mental health during pregnancy has been linked to health outcomes in progeny. Mounting evidence implicates fetal "programming" in this process, possibly via epigenetic disruption. Maternal mental health has been associated with glucocorticoid receptor methylation (nuclear receptor subfamily 3, group C, member 1 [NR3C1]) in the neonate; however, most studies have been small (n < 100) and have failed to control for multiple testing in the statistical analysis. The Barwon Infant Study is a population-derived birth cohort with antenatal recruitment. Maternal depression and anxiety were assessed using the Edinburgh Postnatal Depression Scale and psychological distress using the Perceived Stress Scale. NR3C1 cord blood methylation levels were determined using Sequenom MassArray for 481 participants. Maternal psychological distress and anxiety were associated with a small increase in neonate NR3C1 methylation at specific CpG sites, thus replicating some previous findings. However, associations were only nominally significant and did not remain after correction for the number of CpG sites and exposures investigated. As the largest study to explore the relationship between maternal well-being and offspring NR3C1 cord blood methylation, our results highlight the need for caution when interpreting previous findings in this area. Future studies must ensure they are adequately powered to detect the likely small effect sizes while controlling for multiple testing.