The hypothalamic–pituitary–adrenal axis (HPAA) plays a critical role in the functioning of all other biological systems. Thus, studying how the environment may influence its ontogeny is paramount to understanding developmental origins of health and disease. The early post-conceptional (EPC) period could be particularly important for the HPAA as the effects of exposures on organisms’ first cells can be transmitted through all cell lineages. We evaluate putative relationships between EPC maternal cortisol levels, a marker of physiologic stress, and their children’s pre-pubertal HPAA activity (n=22 dyads). Maternal first-morning urinary (FMU) cortisol, collected every-other-day during the first 8 weeks post-conception, was associated with children’s FMU cortisol collected daily around the start of the school year, a non-experimental challenge, as well as salivary cortisol responses to an experimental challenge (all Ps<0.05), with some sex-related differences. We investigated whether epigenetic mechanisms statistically mediated these links and, therefore, could provide cues as to possible biological pathways involved. EPC cortisol was associated with >5% change in children’s buccal epithelial cells’ DNA methylation for 867 sites, while children’s HPAA activity was associated with five CpG sites. Yet, no CpG sites were related to both, EPC cortisol and children’s HPAA activity. Thus, these epigenetic modifications did not statistically mediate the observed physiological links. Larger, prospective peri-conceptional cohort studies including frequent bio-specimen collection from mothers and children will be required to replicate our analyses and, if our results are confirmed, identify biological mechanisms mediating the statistical links observed between maternal EPC cortisol and children’s HPAA activity.