Parental exposure to stress or glucocorticoids either before or during pregnancy can have profound influences on neurodevelopment, neuroendocrine function and behaviours in offspring. Specific outcomes are dependent on the nature, intensity and timing of the exposure, as well as species, sex and age of the subject. Most recently, it has become evident that outcomes are not confined to first‐generation offspring and that there may be intergenerational and transgenerational transmission of effects. There has been intense focus on the mechanisms by which such early exposure leads to long‐term and potential transgenerational outcomes, and there is strong emerging evidence that epigenetic processes (histone modifications, DNA methylation, and small non‐coding RNAs) are involved. New knowledge in this area may allow the development of interventions that can prevent, ameliorate or reverse the long‐term negative outcomes associated with exposure to early adversity. This review will focus on the latest research, bridging human and pre‐clinical studies, and will highlight some of the limitations, challenges and gaps that exist in the field.