Fetal glucocorticoid exposure is a key mechanism proposed to underlie prenatal ‘programming’ of adult affective behaviours such as depression and anxiety. Indeed, the glucocorticoid metabolising enzyme 11β-hydroxysteroid dehydrogenase type 2 (11β-HSD2), which is highly expressed in the placenta and the developing fetus, acts as a protective barrier from the high maternal glucocorticoids which may alter developmental trajectories. The programmed changes resulting from maternal stress or bypass or from the inhibition of 11β-HSD2 are frequently associated with alterations in the hypothalamic-pituitary-adrenal (HPA) axis. Hence, circulating glucocorticoid levels are increased either basally or in response to stress accompanied by CNS region-specific modulations in the expression of both corticosteroid receptors (mineralocorticoid and glucocorticoid receptors). Furthermore, early-life glucocorticoid exposure also affects serotonergic and catecholamine pathways within the brain, with changes in both associated neurotransmitters and receptors. Indeed, global removal of 11β-HSD2, an enzyme that inactivates glucocorticoids, increases anxiety‐ and depressive-like behaviour in mice; however, in this case the phenotype is not accompanied by overt perturbation in the HPA axis but, intriguingly, alterations in serotonergic and catecholamine pathways are maintained in this programming model. This review addresses one of the potential adverse effects of glucocorticoid overexposure in utero, i.e. increased incidence of affective behaviours, and the mechanisms underlying these behaviours including alteration of the HPA axis and serotonergic and catecholamine pathways.