OBJECTIVE: To investigate the association prenatal maternal depression and anxiety may have on the levels of neonatal hair steroids (i.e. cortisol, cortisone, and the cortisol/cortisone ratio) at birth. METHODS: Altogether, 271 mother-infant pairs derived from the Finnish Kuopio Birth Cohort Study were assessed for maternal depression and anxiety using the Edinburgh Postnatal Depression Scale (EPDS: EPDS-10 for depression, EPDS-3A for anxiety) during the first (T1) and third (T3) trimesters. The levels of cortisol and cortisone were determined from neonatal hair samples obtained at birth. Linear mixed models adjusted for sex, preterm birth, smoking during pregnancy, and gestational diabetes were used. RESULTS: Neither T1 nor T3 EPDS-10 predicted the levels of neonatal hair steroids. T3 EPDS-3A (p = 0.012), but not T1 EPDS-3A, was linked to reduced neonatal hair cortisol levels. Neither T1 nor T3 EPDS-3A were significant predictors of neonate cortisone levels or cortisol/cortisone ratios. CONCLUSION: Prenatal maternal anxiety, but not depression, may lead to pronounced alterations in some markers of fetal stress systems. Future research should further determine whether prenatal maternal symptoms of anxiety would form an optimal intervention target in order to attenuate fetal stress responses.