Prenatal exposure to alcohol has adverse effects on offspring neuroendocrine and behavioural functions. Alcohol readily crosses the placenta, thus directly affecting developing foetal endocrine organs. In addition, alcohol-induced changes in maternal endocrine function can disrupt the normal hormonal interactions between the pregnant female and foetal systems, altering the normal hormone balance and, indirectly, affecting the development of foetal metabolic, physiological and endocrine functions. The present review focuses on the adverse effects of prenatal alcohol exposure on offspring neuroendocrine function, with particular emphasis on the hypothalamic-pituitary-adrenal (HPA) axis, a key player in the stress response. The HPA axis is highly susceptible to programming during foetal and neonatal development. Here, we review data demonstrating that alcohol exposure in utero programmes the foetal HPA axis such that HPA tone is increased throughout life. Importantly, we show that, although alterations in HPA responsiveness and regulation are robust phenomena, occurring in both male and female offspring, sexually dimorphic effects of alcohol are frequently observed. We present updated findings on possible mechanisms underlying differential effects of alcohol on male and female offspring, with special emphasis on effects at different levels of the HPA axis, and on modulatory influences of the hypothalamic–pituitary–gonadal hormones and serotonin. Finally, possible mechanisms underlying foetal programming of the HPA axis, and the long-term implications of increased exposure to endogenous glucocorticoids for offspring vulnerability to illnesses or disorders later in life are discussed.