Maternal psychological stress, depression, and anxiety during pregnancy (prenatal stress; PNS) are thought to impact fetal development with long-term effects on offspring outcome. These effects would include physical and mental health, including psychopathology. Maternal sleep, diet, and exercise during pregnancy are lifestyle behaviors that are understudied and often solely included in PNS studies as confounders. However, there are indications that these lifestyle behaviors may actually constitute essential mediators between PNS and fetal programming processes. The goal of this theoretical review was to investigate this idea by looking at the evidence for associations between PNS and sleep, diet, and exercise, and by piecing together the information on potential underlying mechanisms and causal pathways through which these factors may affect the offspring. The analysis of the literature led to the conclusion that sleep, diet, and exercise during pregnancy, may have fundamental roles as mediators between PNS and maternal pregnancy physiology. By integrating these lifestyle behaviors into models of prenatal programming of development, a qualitatively higher and more comprehensive understanding of the prenatal origins of psychopathology can be obtained. The review finalizes by discussing some of the present challenges facing the field of PNS and offspring programming, and offering solutions for future research.