Epidemiological and experimental studies suggest early nutrition has long-term effects on susceptibility to obesity, cardiovascular and metabolic diseases. Small and large animal models confirm the influence of different windows of sensitivity, from fetal to early postnatal life, on offspring phenotype. We showed previously that undernutrition in sheep either during the first month of gestation or immediately after weaning induces differential, sex-specific changes in adult metabolic and cardiovascular systems. The current study aims to determine metabolic and molecular changes that underlie differences in lipid and glucose metabolism induced by undernutrition during specific developmental periods in male and female sheep. Ewes received 100% (C) or 50% nutritional requirements (U) from 1–31 days gestation, and 100% thereafter. From weaning (12 weeks) to 25 weeks, offspring were then fed either ad libitum (CC, UC) or were undernourished (CU, UU) to reduce body weight to 85% of their individual target. From 25 weeks, all offspring were fed ad libitum. A cohort of late gestation fetuses were studied after receiving either 40% nutritional requirements (1–31 days gestation) or 50% nutritional requirements (104–127 days gestation). Post-weaning undernutrition increased in vivo insulin sensitivity, insulin receptor and glucose transporter 4 expression in muscle, and lowered hepatic methylation at the delta-like homolog 1/maternally expressed gene 3 imprinted cluster in adult females, but not males. Early gestational undernutrition induced lower hepatic expression of gluconeogenic factors in fetuses and reduced in vivo adipose tissue insulin sensitivity in adulthood. In males, undernutrition in early gestation increased adipose tissue lipid handling mechanisms (lipoprotein lipase, glucocorticoid receptor expression) and hepatic methylation within the imprinted control region of insulin-like growth factor 2 receptor in adulthood. Therefore, undernutrition during development induces changes in mechanisms of lipid and glucose metabolism which differ between tissues and sexes dependent on the period of nutritional restriction. Such changes may increase later life obesity and dyslipidaemia risk.