Prenatal stress mediated through the mother can lead to long-term adaptations in stress-related phenotypes in offspring. This study tested the long-lasting effect of prenatal exposure to predator odor, an ethologically relevant and psychogenic stressor, in the second half of pregnancy. As adults, the offspring of predator odor-exposed mothers showed increased anxiety-like behaviors in commonly used laboratory tasks assessing novelty-induced anxiety, increased defensive behavior in males and increased ACTH stress reactivity in females in response to predator odor. Female offspring from predator odor-exposed dams showed increased transcript abundance of glucocorticoid receptor (NR3C1) on the day of birth and FK506 binding protein 5 (FKBP5) in adulthood in the amygdala. The increase in FKBP5 expression was associated with decreased DNA methylation in Fkbp5 intron V. These results indicate a sex-specific response to maternal programming by prenatal predator odor exposure and a potential epigenetic mechanism linking these responses with modifications of the stress axis in females. These results are in accordance with the mismatch hypothesis stating that an animal's response to cues within its life history reflects environmental conditions anticipated during important developmental periods and should be adaptive when these conditions are concurring.