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Specific and adequate nutrition during pregnancy and early life is an important factor in avoiding non-communicable diseases such as obesity, type 2 diabetes, cardiovascular disease, cancers, and chronic allergic diseases. Although epidemiologic and experimental studies have shown that nutrition is important at all stages of life, it is especially important in prenatal and the first few years of life. During the last decade, there has been a growing interest in the potential role of epigenetic mechanisms in the increasing health problems associated with allergic disease. Epigenetics involves several mechanisms including DNA methylation, histone modifications, and microRNAs which can modify the expression of genes. In this study, we focus on the effects of maternal nutrition during pregnancy, the effects of the bioactive components in human and bovine milk, and the environmental factors that can affect early life (i.e., farming, milk processing, and bacterial exposure), and which contribute to the epigenetic mechanisms underlying the persistent programming of immune functions and allergic diseases. This knowledge will help to improve approaches to nutrition in early life and help prevent allergies in the future.