Understanding maternal mental health and cortisol regulation across pregnancy and the relationship to the development of the offspring's stress regulation is critical to a range of health outcomes. The aim of this study was to investigate infant and maternal cortisol in women with depression. Data were obtained from 241 pregnant women within the Mercy Pregnancy and Emotional Wellbeing Study (MPEWS), a selected pregnancy cohort study. Depression was measured using the Structured Clinical Interview for DSM-IV (SCID-IV) and repeat Edinburgh Postnatal Depression Scale (EPDS). Repeated measures of antidepressant use, stressful events, anxiety symptoms and maternal hair cortisol concentrations (HCC) and infant cortisol at 12 months postpartum in saliva and hair. Socio-emotional outcomes were measured at 12 months by maternal report on the Brief Infant and Toddler Socio-emotional Assessment (BITSEA). This study found that maternal depression was not associated with maternal HCC. Anxiety, stress and antidepressant use were not associated with maternal HCC. Independently, higher maternal 3rd trimester maternal depressive and anxiety symptoms were associated with lower infant cortisol response at 12 months of age. A higher number of postpartum stressful events was associated with lower infant cortisol response. Lower infant stress reactivity was associated with higher externalizing symptoms at 12 months of age. Future studies are required to understand implications for later mental health.