The aim of this work was to investigate the immune effects of prenatal stress (PNS) in pigs, when maternal stressor is applied during early or late gestation. In two separate experiments, gilts were submitted to a social-stress routine between either days 24 and 48 (stress (S) group, n = 8 vs. control (C) group, n = 6) or days 79 and 103 of gestation (S group. n = 10 vs. C group. n = 7). During the first month of life of the piglets. their cortisol levels were assessed in basal state and after stressful events (castration, new environment, and weaning). Piglets were immunized against ovalbumin (OVA) at 7 (D7) and 19 (D19) days of age. Lymphocyte proliferation in response to OVA and mitogens was investigated in blood in both sexes from D5 to D29 as well as in the spleen, thymus and crural lymph nodes from females euthanized on D5 and D26. On D27, the cytokine response of male piglets to an injection of lipopolysaccharide was investigated. Special care was taken to minimize the stress at blood sampling and euthanasia. We found that early gestational stress only affected the relative weight of adrenals on D5 (S < C, P < 0.05). On the contrary, late gestational stress increased the proliferation index of blood cells regardless of the age, in both sexes in response to PHA (P = 0.06), and in females only in response to ConA (P < 0.01) and PWM (P < 0.05). Overall, the effects of PNS in pigs seem to depend on the stage of gestation, gender and the immune compartment.