Scientists found that offspring of mice fed a high fat diet were more likely as adults to experience impaired blood flow in the brain, a feature linked to the disease.
When the offspring were also fed a high-fat diet their brains became less able to rid themselves of harmful amyloid protein.
Accumulations of sticky beta amyloid protein in the brain are a key Alzheimer's hallmark.
More work is needed, but researchers believe the study could have important implications for humans.
Lead scientist Dr Cheryl Hawkes, from Southampton University, said: "Our preliminary findings suggest mothers' diets during pregnancy may have long-term effects on their children's brains and vascular health.
"We still need to do more work to understand how our findings translate to humans, but we have known for some time that protecting mothers' health during pregnancy can help lower the risk of health problems for their children.
"Our next step will be to investigate how our findings could relate to Alzheimer's disease in people."
The findings of the study were presented at the Alzheimer's Research UK conference, which is taking place in Oxford this week.
Dr Eric Karran, director of research at the charity, which funded the study, said: "It's important to remember that this research is in mice, but these results add to existing evidence suggesting that the risk of Alzheimer's disease in later life is affected by our health earlier in life.
"This study goes one step further by suggesting that what happens in the womb may also be important."