Prenatal sensory experience, notably auditory experience, is a source of fetal memories in many species. The contiguity between sensory stimuli and maternal emotional reactions provides opportunity for associative learning in utero but no clear evidence for this associative learning has been presented to date. Understanding this phenomenon would advance our knowledge of fetal sensory learning capacities. In the present study we tested the hypothesis that sounds (human voice) broadcast to pregnant sows while they experienced positive or negative emotional situations influences postnatal reactions of their offspring to these same sounds. The results show that: 1) from the first testing at the age of 2 days, the experimental piglets were less distressed by a social separation than controls if they heard the “familiar” voice, 2) piglets generalized to any human voice although the influence of novel voices was less pronounced, 3) in a challenging situation, piglets were more distressed if they heard the voice that was associated with maternal negative emotional state in utero. These findings open a whole line of new research on the long term effect of in utero associative learning that goes well beyond pigs, providing a framework for reconsidering the importance of sensory and emotional experiences during gestation.