In utero diffusion magnetic resonance imaging (MRI) provides unique opportunities to noninvasively study the microstructure of tissue during fetal development. A wide range of developmental processes, such as the growth of white matter tracts in the brain, the maturation of placental villous trees, or the fibers in the fetal heart remain to be studied and understood in detail. Advances in fetal interventions and surgery furthermore increase the need for ever more precise antenatal diagnosis from fetal MRI. However, the specific properties of the in utero environment, such as fetal and maternal motion, increased field-of-view, tissue interfaces and safety considerations, are significant challenges for most MRI techniques, and particularly for diffusion. Recent years have seen major improvements, driven by the development of bespoke techniques adapted to these specific challenges in both acquisition and processing. Fetal diffusion MRI, an emerging research tool, is now adding valuable novel information for both research and clinical questions. This paper will highlight specific challenges, outline strategies to target them, and discuss two main applications: fetal brain connectomics and placental maturation.