The increasing allergy prevalence in affluent countries may be caused by reduced microbial stimulation and a decreased dietary ω-3/ω-6 long-chain polyunsaturated fatty acid (LCPUFA) ratio, resulting in an abnormal postnatal immune maturation. The timing of allergy-preventive probiotic and ω-3 LCPUFA interventions is critical, as early-life events occurring during critical windows of immune vulnerability can have long-term impact on immune development. The maternal dietary and microbial environment during pregnancy may programme the immune development of the child. Prenatal environmental exposures may alter gene expression via epigenetic mechanisms, aiming to induce physiological adaptations to the anticipated postnatal environment, but potentially also increasing disease susceptibility in the offspring if exposures are mismatched. Although the importance of fetal programming mostly has been studied in cardiovascular and metabolic disease, this hypothesis is also very attractive in the context of environmentally influenced immune-mediated diseases. This review focuses on how prenatal, perinatal or postnatal ω-3 LCPUFA interventions regulate childhood immune and allergy development, and if synergistic effects may be obtained by simultaneous probiotic supplementation. We propose that combined pre- and postnatal preventive measures may be most efficacious. Increasing knowledge on the immunomodulatory effects of prenatal, perinatal and postnatal interventions will help to direct future strategies to combat the allergy epidemic.