Events and exposures in pregnancy can have critical effects on fetal development with lasting implications for subsequent health and disease susceptibility. There is growing interest in how modern environmental changes influence fetal immune development and contribute to the recent epidemic of allergy and other immune disorders. Rising rates of allergic disease in early infancy, together with pre-symptomatic differences in immune function at birth, suggest that antenatal events play a predisposing role in the development of disease. A number of environmental exposures in pregnancy can modify neonatal immune function including diet, microbial exposure and maternal smoking, and there is emerging evidence from animal models that these factors may have epigenetic effects on immune gene expression and disease susceptibility. Furthermore, functional genetic polymorphisms also alter individual vulnerability to the effects of these environmental exposures, highlighting the complexity of gene-environmental interactions in this period. All these observations underscore the need for ongoing research to understand the pathogenesis and rising incidence of disease in the hope of better strategies to reverse this.