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Objective: To describe the development of the integrative capacity of the fetal autonomic nervous system (ANS) according to gestational age and emerging behavioral states, assuming that developing integrative ANS functions are reflected in increasing autocorrelation of fetal heart rate and fetal heart rate variability markers. Methods: Magnetocardiograms of 114 healthy fetuses (21–40 weeks of gestation) were recorded. Level of fetal activity (quiet/active sleep) was estimated according to characteristic heart rate patterns. Autocorrelation functions of (i) fetal heart rate and (ii) time patterns of SDNN (standard deviation of normal-to-normal intervals) and RMSSD (root mean square of successive differences in normal-to-normal intervals) were calculated and autocorrelation was determined over different time scales. Age and activity related changes were examined using linear regression and non-parametric tests. Results: During pregnancy, autocorrelation increased in fetal heart rate signals and time patterns of SDNN and RMSSD. Short-time correlation (0–20 s) changed between 21 and 31 gestational weeks. Long-time correlation (75–300 s) accelerated later in pregnancy and did not increase in quiet heart rate patterns. Strong state-dependent changes were found with time patterns of SDNN. Conclusions: Emerging integrative ANS functions are reflected in increasing autocorrelation of fetal heart rate fluctuations over increasing time scales. The period from 21 to 31 gestational weeks seems to be critical to ANS development. Increasing long-time correlation is specific to active sleep states.