Although evidence of the short term relationship between maternal and fetal heart rates has been found in previous model-based studies, knowledge about the mechanism and patterns of the coupling during gestation is still limited. In this study, a model-free method based on Transfer Entropy (TE) was applied to quantify the maternal-fetal heart rate couplings in both directions. Furthermore, analysis of the lag at which TE was maximum and its changes throughout gestation, provided more information about the mechanism of coupling and its latency. Experimental results based on fetal electrocardiograms (fECGs) and maternal ECG showed the evidence of coupling for 62 out of 65 healthy mothers and fetuses in each direction, by statistically validating against the surrogate pairs. The fetuses were divided into three gestational age groups: early (16-25 weeks), mid (26-31 weeks) and late (32-41 weeks) gestation. The maximum TE from maternal to fetal heart rate significantly increased from early to mid gestation, while the coupling delay on both directions decreased significantly from mid to late gestation. These changes occur concomitant with the maturation of the fetal sensory and autonomic nervous systems with advancing gestational age. In conclusion, the application of TE with delays revealed detailed information about the changes in fetal-maternal heart rate coupling strength and latency throughout gestation, which could provide novel clinical markers of fetal development and well-being.