In mammals, environmental factors including cold stress exert dramatic effects on adult health during late gestation, the cold stress response refers to an organism’s response to cold. Indeed, cells and organs, including the hippocampus, are coordinated to respond to prevent hypothermia. The hippocampus act as an important brain structure that regulates the activity of the hypothalamic–pituitary–adrenal (HPA) axis, and suppress the stress reaction through feedback regulation of the HPA axis. To evaluate the response of the hippocampus during prenatal cold stress, we established a prenatal cold stress rat model. The molecular and signaling pathways responsible for the hippocampus cold exposure response were investigated. We assessed the glucocorticoid receptor, mineralocorticoid receptor, brain-derived neurotrophic factor (BDNF), RNA-binding motif protein 3 (RBM3), heat shock protein 70, protein expression, and extracellular signal-regulated protein kinases 1 and 2 (ERK1/2) and nuclear factor-kappa B pathways. Male and female offspring behavior were evaluated. Cold stress reduced the BDNF level in the maternal hippocampus in contrast to the increase in RBM3. BDNF has been shown to induce and RBM3 inhibits ERK phosphorylation. We measured p-ERK1/2 and showed low-level phosphorylation in the hippocampus after cold stress. Furthermore, we demonstrated that cold stress enhanced phosphorylation of P65 on Ser536, and led to apoptosis of the hippocampus in a caspase 3-independent manner. Behavioral tests were performed on pubescent male and female offspring, both of which showed evidence of reduced anxiety-like behavior. In summary, a more thorough understanding of these mechanisms may lead to maternal intervention that can reverse the damage of prenatal stressors or prevent the damage altogether and improve the physical quality of neonatal rats.