Early life environments interact with genotype to determine stable phenotypic outcomes. Here we examined the influence of a variant in the brain-derived neurotropic factor (BDNF) gene (Val66Met), which underlies synaptic plasticity throughout the central nervous system, on the degree to which antenatal maternal anxiety associated with neonatal DNA methylation. We also examined the association between neonatal DNA methylation and brain substructure volume, as a function of BDNF genotype. Infant, but not maternal, BDNF genotype dramatically influences the association of antenatal anxiety on the epigenome at birth as well as that between the epigenome and neonatal brain structure. There was a greater impact of antenatal maternal anxiety on the DNA methylation of infants with the methionine (Met)/Met compared to both Met/valine (Val) and Val/Val genotypes. There were significantly more cytosine–phosphate–guanine sites where methylation levels covaried with right amygdala volume among Met/Met compared with both Met/Val and Val/Val carriers. In contrast, more cytosine–phosphate–guanine sites covaried with left hippocampus volume in Val/Val infants compared with infants of the Met/Val or Met/Met genotype. Thus, antenatal Maternal Anxiety × BDNF Val66Met Polymorphism interactions at the level of the epigenome are reflected differently in the structure of the amygdala and the hippocampus. These findings suggest that BDNF genotype regulates the sensitivity of the methylome to early environment and that differential susceptibility to specific environmental conditions may be both tissue and function specific.