Abstract Prenatal excess of glucocorticoids (GCs) is considered to be one of the highly impacting factors contributing to depression development. Although GCs are crucial for normal fetal development and their administration (mainly dexamethasone, DEX) is a life-saving procedure for those at risk of preterm delivery, exposure to excess levels of GCs during pregnancy can yield detrimental consequences. Therefore, we aimed to systematically investigate the brain molecular alterations triggered by prenatal DEX administration. We used a rat model of depression based on prenatal exposure to DEX and performed integrative multi-level methylomic, transcriptomic, and proteomic analyses of adult rats’ brains (i.e., frontal cortex (FCx) and hippocampus (Hp)) to identify the outcomes of DEX action. Each of the investigated levels was significantly affected by DEX in the long-term manner. Particularly, we found 200 CpG islands to be differentially methylated in the FCx and 200 in the Hp of prenatally DEX-treated rats. Global transcriptomic analysis uncovered differential expression of transcripts mostly in FCx (271) and 1 in Hp, while proteomic study identified 146 differentially expressed proteins in FCx and 123 in Hp. Among the identified enriched molecular networks, we found altered pathways involved in synaptic plasticity (i.e., cAMP, calcium, and Wnt signaling pathways or tight junctions and adhesion molecules), which may contribute to cognitive impairment, observed in DEX-treated animals. Moreover, in the FCx, DEX administration in the prenatal period downregulates the expression of ribosome protein genes associated both with large and small ribosomal subunit assembly which can lead to a global decrease in translation and protein synthesis processes and, indirectly, alterations in the neurotransmission process.