The major changes in highly dynamic neuroendocrine systems that are essential for establishing and maintaining pregnancy are outlined from studies on rodents. These changes optimise the internal environment to provide the life support system for the placenta, embryo and fetus. These include automatic prevention of further pregnancy, blood volume expansion, increased appetite and energy storage. The brain regulates these changes, in response to steroid (estrogens, progesterone) and peptide (lactogens, relaxin) hormone signals. Activation of inhibitory endogenous opioid mechanisms in the brain in late pregnancy restrains premature secretion of oxytocin, and attenuates hypothalamo-pituitary-adrenal (HPA) responses to stress. This opioid mechanism is activated by allopregnanolone, a neuroactive progesterone metabolite. The significance of reduced HPA axis responses in shifting maternal metabolic balance, and in protecting the fetuses from adverse programming of HPA axis stress responsiveness and anxious behaviour in later life is critically discussed. Experimental studies showing sex-dependent fetal programming by maternal stress or glucocorticoid exposure in late pregnancy are reviewed. The possibility of over-writing programming in offspring through neurosteroid administration is discussed. The impact of maternal stress on placental function is considered in the context of reconciling studies that show offspring programming by stress in very early or late pregnancy produce similar phenotypes in the offspring.