Population-based pregnancy cohorts recruiting women before or at the moment of childbirth allow a longitudinal follow-up on children's health later in life. Important findings arising from pregnancy cohorts are discussed in the present review. These insights have led to revised guidelines on how to minimize disease risks in children, e.g., in the context of chronic immune diseases including allergies and asthma. Moreover, insights from pregnancy cohorts also unveiled a collateral effect of pregnancy on maternal immunity, mirrored by an ameliorated course of certain autoimmune diseases, but also an increased risk of infection with influenza A virus. Future pregnancy cohort studies are still required to close gaps in knowledge on how parameters involved in the developmental origin of health or poor immunity observed in children later in life are operational. We discuss here features that should be covered by future pregnancy cohort studies. Expected insights from such studies will then lay the foundation for biomarker discovery and offer opportunities for interventions to ameliorate adverse immune responses in humans.