There have been significant challenges in the research areas of: 1. Foetal PROGramming. The widely use of growth variables as the indicators of foetal environment remains the major methodological limitation. And no research in humans has been able to examine the biomarkers at different programming stages from exposure itself to disease in one single study. 2. Stress. It remains difficult to assess stress and to obtain data on long-term health in a large study. The biological programming effects of prenatal stress need to be elucidated. 3. Bereavement. There is a significant knowledge gap in health of children bereaved by the death of a close relative. 4. Register-based research. To combine the multi-national data is necessary to understand the aetiology and the impact of rare disease and the effects of certain risk factors. But such a first attempt will face many obstacles.The novel approaches in this study are designed to meet all the above challenges. The study uses data from 21 national databases in Denmark, Sweden, and Finland. The first component is a population-based cohort of 6.7 million children. Its objective is to examine the programming effects of an early stress exposure, bereavement during prenatal or early years in life, on a wide range of health outcomes. The second biological component is a proof of concept for foetal programming, examining biomarkers along the pathway from prenatal stress to disease.The study is feasible only in EUROpean settings, which will strengthen the European leadership in epidemiology and public health. It may start a new era for joint European research in public health. The challenges may lead to difficulties and uncertainties for the study, which could also be the source of new scientific insights, hypotheses, and theories.