Prenatal smoking exposure and early-life respiratory infections are major determinants of asthma during childhood. We investigate the factors influencing allergic sensitization (AS), asthma, and lung function in children and the balance between individual and environmental characteristics at different life stages. 1714 children aged 7–16 years and living in southern Italy were investigated using a parental questionnaire, skin prick tests, and spirometry. We found 41.0% AS prevalence: among children without parental history of asthma, male sex, maternal smoking during pregnancy (MatSmoke), and acute respiratory diseases in the first two years of life (ARD2Y) were significant risk factors for AS. MatSmoke was associated (OR = 1.79) with ARD2Y, and this association was influenced by sex. ARD2Y was, in turn, a significant risk factor (OR = 8.53) for childhood current asthma, along with AS (OR up to 3.03) and rhinoconjuctivitis (OR = 3.59). Forced mid-expiratory flow (FEF25–75%) was negatively affected by ARD2Y, with a sex-related effect. Thus, males exposed to MatSmoke had significantly lower FEF25–75% than unexposed males. Despite the difficulty of discriminating among the complex interactions underlying the development of allergic respiratory diseases, ARD2Y appears to strongly influence both asthma and lung function during childhood. In turn, ARD2Y is influenced by prenatal exposure to tobacco smoke with a sex-dependent effect.