Extreme stress and pain trigger certain chemical reactions in the human body and brain. As the mother’s blood is the source of the baby’s nutrition and also provides certain hormones that are necessary for fetal development, it’s probable that some of these stress related hormonal changes do pass through the placental barrier to the growing fetus.
This doesn’t mean that the fetus has any conscious awareness of what the mother is experiencing, let alone why. But they may feel stress simply because the body chemicals trigger it, and it can have certain effects on their development. These chemicals can trigger stress-related chemical changes in the fetus. Not in that it’ll cause them to have autism or developmental delays later on, or to have a heart defect etc. But it can cause changes in their own body chemistry, which could affect how they respond to some experiences later on.
There was a time not too long ago when it was thought that very young infants could not feel pain. Circumcisions were done and before that, even surgery was done without anesthesia!! Horrible thought now. We also know infants can feel stress, and that a stressed out or depressed caregiver can make for a crankier baby than one who’s calm most of the time.
We now know that the neural development in the fetus is probably able to transmit the first pain signals to the brain starting at about 24 weeks. I wouldn’t be surprised if an ability to feel stress in a way other than physical reactions to hormones becomes possible at or a bit later than this too.