Endogenous levels of glucocorticoids rise during pregnancy to warrant development and maturation of the fetal organs close to birth. However, during most of the gestation, the fetus is protected from excessive biologically active endogenous glucocorticoids by placental and fetal expression of 11β-hydroxysteroid dehydrogenase 2 (11β-HSD2). Maternal stress, which may overwhelm placental 11β-HSD2 activity with high glucocorticoid levels, or administration of synthetic glucocorticoids to improve the survival chances of the premature newborn, are associated to postnatal increased risk for immune diseases. Fetal exposure to excessive glucocorticoids may underlie this altered postnatal immunity. Here, we revise the role that placental and fetal 11β-HSD2, fetal glucocorticoid exposure, and programming of the offspring’s the hypothalamic-pituitary-adrenal (HPA) axis play on concerted steps in immune fetal development. We could identify gaps in knowledge about glucocorticoid-induced programming of immune diseases. Finally, based on current evidence about glucocorticoid and HPA axis-mediated immune regulation, we hypothesize on mechanisms that could drive the enhanced risk for atopies, infections, and type I diabetes in offspring that were prenatally exposed to glucocorticoids.