Gestational factors play a role in the development of several neuropsychiatric disorders including schizophrenia and autism. In utero conditions influence future mental health through epigenetic mechanisms, which alter gene expression without affecting DNA coding sequence. Environmental factors account for at least 60% of the risk for developing major depression, and earlier onset of depressive illness has been observed over the past decades. I speculate that gestational factors may play a greater role in programing depression than previously recognized. Here, I examine recent evidence for a role for gestational factors in programing mood disorders, and how epigenetic mechanisms mediate this effect.