Major depressive disorder (MDD) and cardiovascular disease (CVD) represent leading causes of morbidity and mortality worldwide. We tested the hypothesis that growth restriction and preeclampsia (referred to as fetal risk) are significant predictors of these conditions, with women at higher risk in adulthood. Adult offspring exposed to fetal risk factors and their discordant siblings were from two prenatal cohorts, whose mothers were followed through pregnancy and whom we recruited as adults 40 years later (n = 538; 250 males and 288 females). Subjects were psychiatrically diagnosed and underwent a stress challenge during which parasympathetic regulation was assessed by electrocardiogram, operationalized as high-frequency R-R interval variability (HF-RRV). Linear mixed models and generalized estimating equations were used to examine the relationship of fetal risk on HF-RRV, MDD and comorbidity of low HF-RRV (lowest 25th percentile) and MDD, including interactions with sex and socioeconomic status (SES). Fetal risk was significantly associated with low HF-RRV response (F = 3.64, P = 0.05), particularly among low SES (interaction: F = 4.31, P < 0.04). When stratified by MDD, the fetal risk impact was three times greater among MDD compared with non-MDD subjects (effect size: 0.21 v. 0.06). Females had a significantly higher risk for the comorbidity of MDD and low HF-RRV than males (relative risk (RR) = 1.36, 95% CI: 1.07–1.73), an association only seen among those exposed to fetal risk (RR = 1.38, 95% CI: 1.04–1.83). Findings suggest that these are shared fetal antecedents to the comorbidity of MDD and CVD risk 40 years later, an association stronger in females than in males.