Epigenetics is the branch of genetics that studies the different mechanisms that influence gene expression without direct modification of the DNA sequence. An ever-increasing amount of evidence suggests that such regulatory processes may play a pivotal role both in the initiation of pregnancy and in the later processes of embryonic and fetal development, thus determining long-term effects even in adult life. In this narrative review, we summarize the current knowledge on the role of epigenetics in pregnancy, from its most studied and well-known mechanisms to the new frontiers of epigenetic regulation, such as the role of ncRNAs and the effects of the gestational environment on fetal brain development. Epigenetic mechanisms in pregnancy are a dynamic phenomenon that responds both to maternal–fetal and environmental factors, which can influence and modify the embryo-fetal development during the various gestational phases. Therefore, we also recapitulate the effects of the most notable environmental factors that can affect pregnancy and prenatal development, such as maternal nutrition, stress hormones, microbiome, and teratogens, focusing on their ability to cause epigenetic modifications in the gestational environment and ultimately in the fetus. Despite the promising advancements in the knowledge of epigenetics in pregnancy, more experience and data on this topic are still needed. A better understanding of epigenetic regulation in pregnancy could in fact prove valuable towards a better management of both physiological pregnancies and assisted reproduction treatments, other than allowing to better comprehend the origin of multifactorial pathological conditions such as neurodevelopmental disorders.