Accumulating studies suggest that prenatal experiences can shape a child’s neurodevelopment. Malnutrition and depression occur in pregnancy relatively often and may affect child neurodevelopment independently as well as synergistically. We aimed to provide an overview of recent studies that have examined malnutrition and (or) depression in pregnancy and associations with child behavioural problems and cognitive function. We conducted a literature search in PubMed, using the following main search terms: “depression”, “nutrition”, “BMI”, “pregnancy”, “offspring”, “cognition”, and “behaviour”. We included studies in human populations published from 2013 onwards. The literature search yielded 1531 articles, of which 55 were included in the current review. We presented the evidence on the associations between prenatal markers of nutritional status and (or) depression and child behaviour and (or) cognitive function. We additionally discussed interventions and mechanisms. Both malnutrition and depression in pregnancy are associated with increased externalizing behavioural problems and attentional deficits, and to some extent with poorer cognitive function in the child, but the evidence is not conclusive. Studies on synergistic effects of both factors on child behaviour and cognitive function are still scarce, and more research is needed. Potential shared mechanisms include the hypothalamic–pituitary–adrenal axis, the immune system, epigenetics, and oxidative stress.