Abnormal function of the hypothalamic-pituitary-adrenal (HPA) axis is an important pathological finding in pregnant women exhibiting major depressive disorder. They show high levels of cortisol pro-inflammatory cytokines, hypothalamic-pituitary peptide hormones and catecholamines, along with low dehydroepiandrosterone levels in plasma. During pregnancy, the TH2 balance together with the immune system and placental factors play crucial roles in the development of the fetal allograft to full term. These factors, when altered, may generate a persistent dysfunction of the HPA axis that may lead to an overt transfer of cortisol and toxicity to the fetus at the expense of reduced activity of placental 11β-hydroxysteroid dehydrogenase type 2. Epigenetic modifications also may contribute to the dysregulation of the HPA axis. Affective disorders in pregnant women should be taken seriously, and therapies focused on preventing the deleterious effects of stressors should be implemented to promote the welfare of both mother and baby.