Problems regulating behaviour and emotions in infancy may be a risk factor for the development of psychopathology later in life. Compelling evidence from animal models suggests that one potential pathway to early dysregulation is fetal programming of the hypothalamic–pituitary–adrenal (HPA) axis. According to this model, prenatal maternal stress and anxiety during sensitive periods of development can lead to enduring changes in fetal and offspring neurodevelopment and behaviour. While there is emerging evidence from human studies to suggest a link between maternal negative mood states in pregnancy and various cognitive, behavioural, and emotional disturbances in offspring, it is not yet clear whether the programming mechanism demonstrated in animal studies also applies to humans. Few studies have directly assessed HPA axis function in the infants of prenatally stressed women. Research in this area has been constrained by a number of measurement challenges unique to the assessment of cortisol in infants. This paper discusses these challenges with a view to stimulating further research in the area.