There is debate about the relative importance of timing of stressful events prenatally and over the life course and risk for subsequent depressive/anxious illness. The aim of this study was to examine the relative roles of prenatal stress and postnatal stress trajectories in predicting depression and anxiety in early adulthood in males and females. Exposure to life stress events was examined in the Western Australian Pregnancy Cohort (Raine) Study during pregnancy and ages 1, 2, 3, 5, 8, 10, 14, and 17 years. At age 20, offspring completed the Depression Anxiety Stress Scale. Prenatal stress and trajectories of stress events from age 1 to 17 were analyzed in linear regression analyses. Five postnatal stress trajectories were identified. In females, medium to high chronic stress exposure or exposure during puberty/adolescence predicted depression and anxiety symptoms while low or reduced stress exposure over the life course did not, after adjustment for relevant confounders. High stress early in pregnancy contributed to male depression/anxiety symptoms independent of postnatal stress trajectory. In females, postnatal stress trajectory was more important than prenatal stress in predicting depression/anxiety symptoms. Interventions focused on reducing and managing stress events around conception/pregnancy and exposure to chronic stress are likely to have beneficial outcomes on rates of depression and anxiety in adults.