Consequences of prenatal stress on emotional reactivity and cognitive abilities in offspring are under-documented in precocial mammals. Here, we investigated to what extent emotional reactivity, judgment bias and spatial learning abilities of lambs are affected by chronic stress during late pregnancy and by their dams' emotional reactivity. The 20 highest-responsive (HR) and 20 lowest-responsive (LR) ewes from a population of 120 Romane ewes were selected according to their pre-mating reactivity to social isolation in a new environment. Over the final third of pregnancy, 10 HR ewes and 10 LR ewes were exposed daily to various unpredictable aversive events such as restraint, mixing groups and transport while the other 20 selected ewes were not. In a human and an object test, prenatally-stressed lambs were more fearful than control lambs, but the prenatal stress effect was moderated by the reactivity of the mothers: prenatally-stressed lambs from ewes with high emotional reactivity were more affected. Prenatally-stressed lambs did not perform as well as control lambs in a maze test and showed pessimistic-like judgment in a cognitive bias test. Prenatally-stressed lambs were thus characterized by a negative affective state with increased fear reactions and impaired cognitive evaluation. The development of negative moods could have long-lasting consequences on the coping strategies of the lambs in response to their rearing conditions.