Cortisol obtained from hair samples represents a retrospective biomarker of chronic stress experienced by the subject in previous months. Although hair cortisol levels have been used to study the relationship between maternal and neonatal stress levels in primates, this has not yet been performed in humans using a longitudinal design and focusing specifically on this association. Therefore, the objective of this study was to determine whether a relationship existed between maternal psychological stress and hair cortisol levels during pregnancy and postpartum, and neonatal hair cortisol levels. The sample consisted of 80 pregnant women and their 80 newborn infants. We conducted a longitudinal assessment of hair cortisol levels, psychological stress, anxiety, and depression in the three trimesters of pregnancy and postpartum. After childbirth, neonatal hair cortisol levels were also measured. We found that maternal hair cortisol levels in the first trimester negatively predicted neonatal hair cortisol levels. Perceived stress in the third trimester of pregnancy also predicted lower neonatal cortisol, whereas pregnancy-specific stress in the same trimester had a positive relation with neonatal cortisol. Cortisol is essential for embryonic and fetal development; consequently, if fetal synthesis of cortisol is affected by high maternal cortisol levels, such development could be impaired.