Understanding fetal programming pathways that underpin the relationship between maternal and offspring mental health necessitates an exploration of potential role of epigenetic variation in early development. Two genes involved in stress response regulation, the glucocorticoid and mineralocorticoid receptors (NR3C1 and NR3C2) have been a focus in understanding stressful exposures and mental health outcomes. Data were obtained from 236 pregnant women from the Mercy Pregnancy Emotional Wellbeing Study (MPEWS), a selected pregnancy cohort, recruited in early pregnancy. Depression was measured using the Structured Clinical Interview for DSM-IV (SCID-IV) and repeated measures of the Edinburgh Postnatal Depression Scale (EPDS). Antidepressant use, stressful events and anxiety symptoms were measured. NR3C1 and NR3C2 DNA methylation was measured in placental and infant buccal samples. Infant cortisol was measured in repeat saliva samples across a task. This study found maternal early pregnancy depressive disorder and symptoms were associated with lower DNA methylation at NR3C2 CpG_24 in placental tissue. There were no significant differences for depression or antidepressant use for DNA methylation of NR3C1. Antenatal depression was associated with lower infant cortisol reactivity at 12 months. DNA methylation in CpG_24 site in NR3C2 in placental samples suppressed the relationship between early maternal depressive symptoms and infant cortisol reactivity. These findings show a relationship between antenatal depression, NR3C2 DNA methylation and infant cortisol response providing support for a specific fetal programming pathway. Further research is required to examine the stability of this epigenetic mark across childhood and long-term mental health outcomes.