Prenatal depression is associated with adverse offspring outcomes, and the prevailing mechanistic theory to account for mood-associated effects implicates alterations of the maternal and foetal hypothalamic-pituitary adrenal (HPA) axes. Recent research suggests that depression may be associated with a failure to attenuate cortisol reactivity during early pregnancy. The aim of the current study is to investigate whether this effect continues into mid and late gestation. A further aim is to test whether maternal prenatal cortisol reactivity directly predicts infant cortisol reactivity. One hundred three pregnant women were recruited during either the second or third trimester. Depressive symptoms were assessed by self-report, and maternal salivary cortisol responses to a stressor (infant distress film) were measured. Approximately 2 months after birth, mothers (n = 88) reported postnatal depression and infant salivary cortisol responses to inoculation were measured. Prenatal depression was not associated with cortisol reactivity to acute stress in mid and late pregnancy. Similarly, neither prenatal depression nor maternal prenatal cortisol reactivity predicted infant cortisol reactivity to inoculation at 2 months. If the effects of prenatal depression on foetal and infant development are mediated by alterations of the maternal and foetal HPA axes, then early pregnancy may be a particularly vulnerable period. Alternatively, changes to HPA reactivity may not be as central to this association as previously thought.