This database includes the raw data linked with the paper “Sex-dimorphic pathways in the associations between maternal trait anxiety, infant BDNF methylation and negative emotionality” accepted for publication on Development and Psychopathology. This study is part of the longitudinal and multi-centric “Measuring the outcomes of maternal COVID-19-related prenatal exposure (MOM-COPE)” study. Here, we report on the sex-dependent effects of antenatal exposure to maternal anxiety on infants’ methylation levels of the BDNF gene at birth and on negative emotionality trajectories from 3 to 6 months of age. Procedures Mother–infant dyads (N = 276) were recruited at delivery. Maternal trait anxiety, as a marker of antenatal chronic stress exposure, was assessed soon after delivery using the Stait-Trait Anxiety Inventory (STAI-Y). Infants’ BDNF DNAm at birth was assessed in 11 CpG sites in buccal cells whereas infants’ NE was assessed at 3 (N = 225) and 6 months (N = 189) using the Infant Behavior Questionnaire-Revised (IBQ-R). Analytical plan Principal component analysis (PCA) was used to reduce the number of CpG sites into a smaller set of factors. The PCA yielded 2 principal components: PC1 (composed of 6 CpG sites) and PC2 (composed of 5 CpG sites). Separate hierarchical regression analyses were performed to evaluate the independent and interactive effects of infant gender and maternal anxiety on infant methylation levels. Hierarchical linear models (HLMs) were performed to investigate sex-dimorphic associations between infant NE trajectory from 3 to 6 months and maternal trait anxiety or infant BDNF methylation. Findings in brief Higher maternal antenatal anxiety was associated with greater 6-month-olds’ NE. Furthermore, maternal antenatal anxiety predicted greater infants’ BDNF methylation in five CpG sites in males but not in females. Higher methylation at these sites was associated with greater 3-to-6-month NE increase, independently of infants’ sex.