Children of mother's who suffer from depression have greatly increased risk of also experiencing depression in their lifespan. This increased risk is a complex and complicated combination of factors, both genetic and environmental. Those children with two parents who are experiencing depression are at greatest risk.
One study takes a look at what happens in utero, before baby is born. Fetal programming posits that what happens while baby is a developing fetus can dictate illnesses experienced later in the child's life. Related to psychiatric illnesses, the concept of fetal programming recognizes changes in Mom's hypothalamic-pituitary-adrenal (HPA) axis or high cortisol levels, can effect the developing child's HPA axis. In short, when Mom has the presence of stressful life events and/or anxiety and depression during pregnancy, developing baby is exposed to higher levels of cortisol (stress hormone) which could in turn alter baby's HPA axis and lead to personal experience of anxiety or depression later in life.
Some studies have focused on the effects of increased cortisol on the developing fetus' amygdala, the part of our brain that helps regulate response to stress and susceptibility to mood disorders. The amygdala develops at an early embryonic stage and appears to be particularly sensitive to high levels of cortisol. Functional MRI studies reveal amygdala hyperactivation in people with Major Depression, Obsessive Compulsive Disorder and other Anxiety Disorders.
This is a growing field of research with increased attention on maternal mental illnesses. What these studies reveal now is that the fetal environment is a starting point by which the next generation can be exposed to the health (or lack thereof), of the mother.
A great place to find emerging research on maternal mental health is here:
MGH Center for Women’s Mental Health (2015). How does mother’s depression affect the fetal brain? Look at the amygdala. Retrieved from https://womensmentalhealth.org/posts/how-does-mothers-depression-affect-the-fetal-brain-look-at-the-amygdala/
Fetal Programming, Epigenetics, and Adult Onset Disease
Lane, Robert H., Clinics in Perinatology , Volume 41 , Issue 4 , 815 - 831
Buss, C., Davis, E. P., Shahbaba, B., Pruessner, J. C., Head, K., & Sandman, C. A. (2012). Maternal cortisol over the course of pregnancy and subsequent child amygdala and hippocampus volumes and affective problems. Proceedings of the National Academy of Sciences of the United States of America, 109, E1312–E1319.