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Whereas sexual differentiation is considered as the onset of differentiation of the male or female gonads, mounting evidence indicates that sex differences in developmental programming are established as early as the zygotic stage. Genetic and epigenetic differences between the sexes might govern how each responds to shifts in their early environment, including in the uterus or culture dish, as in the case of in vitro cultured pre-implantational embryos. Even if no differences are evident between the sexes at birth, divergent conceptus responses to surrounding changes, such as maternal diet and exposure to endocrine disrupting compounds (EDC), such as bisphenol A (BPA), might predispose one sex over the other to later adult-onset diseases, otherwise termed developmental origin of health and disease (DOHaD). Overall, males subjected to less than optimal in utero conditions tend to be at greater risk for various diseases, including neurobehavioural disorders. As the placenta is the primary nutrient acquisition and communication organ between the dam and foetus, its ability to adapt rapidly to environmental shifts might buffer the conceptus against environmental insults. The placenta of one sex over the other might possess greater ability to respond to environmental fluctuations. In utero environmental changes, including maternal nutrient excess or reduction or exposure to the EDC, BPA, might govern sex-dependent behavioural alterations. In sum, this review examines the evidence to date that male and female zygotes and conceptuses diverge in their responses to shifting environmental conditions and whether these contrasting sexually dimorphic responses underpin later DOHaD outcomes, namely neurobehavioural changes.