Chronic immune-mediated diseases of adulthood often originate in early childhood. To investigate genetic associations between neonatal immunity and disease, we map expression quantitative trait loci (eQTLs) in resting myeloid cells and CD4+ T cells from cord blood samples, as well as in response to lipopolysaccharide (LPS) or phytohemagglutinin (PHA) stimulation, respectively. Cis-eQTLs are largely specific to cell type or stimulation, and 31% and 52% of genes with cis-eQTLs have response eQTLs (reQTLs) in myeloid cells and T cells, respectively. We identified cis regulatory factors acting as mediators of trans effects. There is extensive colocalisation between condition-specific neonatal cis-eQTLs and variants associated with immune-mediated diseases, in particular CTSH had widespread colocalisation across diseases. Mendelian randomisation shows causal neonatal gene expression effects on disease risk for BTN3A2, HLA-C and others. Our study elucidates the genetics of gene expression in neonatal immune cells, and aetiological origins of autoimmune and allergic diseases.