Mothers confer natural passive immunization to their infants through the transplacental pathway during the gestation period. The objective of the present study was to establish at birth the maternal and cord plasma concentration and relationship of immunoglobulins (Igs), cytokines (CKs), and adipokines. In addition, the impact of the maternal microbiota and diet was explored. The plasma profile of these components was different between mothers and babies, with the levels of many CKs, IgM, IgG2a, IgE, IgA, and leptin significantly higher in mothers than in the cord sample. Moreover, the total Igs, all IgG subtypes, IgE, and the Th1/Th2 ratio positively correlated in the mother–infant pair. Maternal dietary components such as monounsaturated fatty acids-polyunsaturated fatty acids and fiber were positively associated with some immune factors such as IgA in cord samples. The microbiota composition clustering also influenced the plasma profile of some factors (i.e., many CKs, some Ig, and adiponectin). In conclusion, we have established the concentration of these immunomodulatory factors in the maternal–neonatal pair at birth, some positive associations, and the influence of maternal diet and the microbiota composition, suggesting that the immune status during pregnancy, in terms of CKs and Igs levels, can influence the immune status of the infant at birth.