Development of the fetal hypothalamo-pituitary-adrenal (HPA) axis is required for normal fetal life and subsequent neonatal health. Activation of the fetal pituitary gland results in the synthesis and release of glucocorticoids from the adrenal cortex. Glucocorticoids promote maturation of several organ systems, are important in responses of the fetus to stress, and are involved in the initiation of parturition in several species. The expression of hypothalamic and pituitary genes associated with HPA function is apparent early in gestation in fetal sheep, although the endocrine changes associated with maturation and parturition do not occur until the last fifth of gestation. In this connection, the fetal HPA axis can be activated by treatment with hypophysiotrophic factors or moderate stress throughout gestation. This review focuses on the development of neuroendocrine mechanisms controlling HPA function during fetal life.