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Context Dairy cattle experience stressful environmental situations that affect production. Heat stress during gestation can influence the intrauterine development of offspring, resulting in long-term damage that can affect the reproductive life of the adult offspring. Aim The aim of the present study was to evaluate changes in the expression and regulation of steroid hormone receptors in the ovary of Holstein cows gestated under different temperature-humidity index (THI) during their in utero development. Methods Animals were classified by their exposure to temperature-humidity index (THI) ≥72 during their development in utero according to date of birth or date of effective service of their mother. This study was not carried out under controlled conditions, but the conditions to which the cows were naturally exposed during their development were considered retrospectively, controlling the variables in the statistical analyses (age as a covariate, dairy farm as a random factor). Gestation was divided into two periods (P1 = days 0–150; and P2 = day 151 to calving) and three trimesters (T1 = days 0–90; T2 = days 91–180; and T3 = day 181 to calving), and the exposure to THI ≥72 was calculated in each one. The following characteristics were evaluated: gene expression of estrogen receptor (ESR) 1, ESR2 and progesterone receptor (PGR), CpG methylation in the 5′UTR of ESR1 and ESR2, and protein expression of ESR1, ESR2, PGR and coregulatory proteins in the dominant follicles of daughter cows in adulthood. Key results We found associations between heat stress variables during gestation and the methylation status of CpG sites in the 5′UTR of ESR1 and ESR2 in dominant follicles. Results also showed association between exposure to high THI values during intrauterine development and expression of ESR1, ESR2 and PGR and coregulatory proteins in dominant follicles of adult cows. Conclusions These results provide novel information about the impact of prenatal heat stress on molecular aspects at the ovary level in the offspring, during their adult life, which probably impacts the reproductive aspects of the herd.