Fetal hypoxia and maternal stress frequently culminate in neuropsychiatric afflictions in life. To replicate this condition, we employed a model of prenatal severe hypoxia (PSH) during days 14-16 of rat gestation. Subsequently, both control and PSH rats at 3 months old were subjected to episodes of inescapable stress to induce learned helplessness (LH). The results of the open field test revealed an inclination towards depressive-like behavior in PSH rats. Following LH episodes, control (but not PSH) rats displayed significant anxiety. LH induced an increase in glucocorticoid receptor (GR) levels in extrahypothalamic brain structures, with enhanced nuclear translocation in the hippocampus (HPC) observed both in control and PSH rats. However, only control rats showed an increase in GR nuclear translocation in the amygdala (AMG). The decreased GR levels in the HPC of PSH rats correlated with elevated levels of hypothalamic corticotropin-releasing hormone (CRH) compared with the controls. However, LH resulted in a reduction of the CRH levels in PSH rats, aligning them with those of control rats, without affecting the latter. This study presents evidence that PSH leads to depressive-like behavior in rats, associated with alterations in the glucocorticoid system. Notably, these impairments also contribute to increased resistance to severe stressors.