There is considerable interest in the potential nongenetic transmission of a suite of mental health conditions across generations, with epigenetics emerging as a candidate mediator of such effects. This review summarizes findings from 22 studies measuring candidate gene DNA methylation and seven epigenome-wide association studies of offspring epigenetic profile in women with adverse mental wellbeing measures (stress, depression or anxiety) in pregnancy. Despite some compelling evidence to suggest an association, there is a lack of reproducible findings, potentially linked to a number of limitations to this research and the field more broadly. Large cohorts with well characterized exposures across pregnancy are now needed. There is exciting potential that epigenetics may help explain some of the link between maternal wellbeing and child health outcomes, thereby informing novel interventions, but future studies must address current limitations to advance translational knowledge in this area.