Background: Asthma is a heterogeneous disorder with different phenotypes, and age at onset may define part of them. Little is known about possible association between prenatal stress and asthma phenotypes according to age at onset. We aim to investigate whether there is an association between prenatal stress and asthma, and if so, whether such an association differs according to age at asthma onset. Methods: We carried out a cohort study based on several national registers in Denmark, including all live singletons born during 1996–2007 in Denmark (N = 750 058). We identified children born to mothers who lost a close relative (a child, partner/spouse, a parent or a sibling) 1 year prior to or during pregnancy as the bereaved group. Using Cox proportional hazards regression model, we evaluated the hazard ratios (HRs) for asthma in children of bereaved mothers, compared with children of non-bereaved mothers. Results: Prenatal stress following maternal bereavement was associated with a marginally increased risk of asthma events in children aged 0–3 years [HR = 1.04, 95% confidence interval (CI): 1.00–1.07], while unexpected bereavement was associated with a higher risk (HR = 1.13, 95% CI: 1.02–1.24). There was no association between prenatal bereavement and asthma in children aged 4–15 years (HR = 1.02, 95% CI: 0.96–1.09). Conclusions: Prenatal stress is possibly associated with asthma events in children aged 0–3 years, but not with asthma in children aged 4–15 years irrespective of age at asthma onset.