Prenatal stress can affect foetal neurodevelopment and result in increased risk of depression in adulthood. It promotes increased maternal hypothalamo-pituitary-adrenal gland (HPA) secretion of glucocorticoid (GC), leading to increased foetal and maternal GC receptor activity. Prenatal GC receptor activity is also increased during prenatal treatment with dexamethasone (DEX), which is commonly prescribed as a prophylactic treatment of preterm delivery associated morbid symptoms. Here, we exposed pregnant Wistar rats to 0.1 mg/kg/d DEX during the last week of pregnancy and performed cross-fostering at birth. In the adult offspring we then studied the effects of prenatal DEX exposure per se and the effects of rearing by a dam exposed to prenatal DEX. Offspring were assessed in the following paradigms testing biobehavioural processes that are altered in depression: progressive ratio schedule of reinforcement (anhedonia), Porsolt forced swim test (behavioural despair), US pre-exposure active avoidance (learned helplessness), Morris water maze (spatial memory) and HPA axis activity (altered HPA function). Responsiveness to a physical stressor in terms of HPA activity was increased in male offspring exposed prenatally to DEX. Despite this increased HPA axis reactivity, we observed no alteration of the assessed behaviours in offspring exposed prenatally to DEX. We observed impairment in spatial memory in offspring reared by DEX exposed dams, independently of prenatal treatment. This study does not support the hypothesis that prenatal DEX exposure leads to depression-like symptoms in rats, despite the observed sex-specific programming effect on HPA axis. It does however emphasise the importance of rearing environment on adult cognitive performances.