According to a large analysis of past trials by Imperial College London, this led to a 30% reduction in egg allergy risk by the age of one, the BBC reported.
Fish oil contains omega-3 that has a positive, anti-inflammatory effect.
Experts said larger trials were needed that followed up children for longer. But they said the research confirmed that diet in pregnancy could influence the development of allergies in early life.
One in 20 children in the UK is affected by allergies to food, such as nuts, eggs, milk or wheat.
These allergies are caused by the immune system malfunctioning and over-reacting to these harmless foods, and this triggers symptoms such as rashes, swelling, vomiting and wheezing.
Dr Robert Boyle, lead author of the research, from the department of medicine at Imperial College London, said: "Our research suggests probiotic and fish oil supplements may reduce a child's risk of developing an allergic condition, and these findings need to be considered when guidelines for pregnant women are updated."
The supplements contain omega-3 fatty acids, which are also present in oily fish such as salmon.
Current advice is that pregnant women should eat no more than two portions of oily fish per week because of the levels of mercury in some fish, and avoid shark, swordfish or marlin altogether.
The researchers looked at 19 trials of fish oil supplements taken during pregnancy involving 15,000 people, finding that the reduction in allergy risk equated to 31 fewer cases of egg allergy per 1,000 children.
They also looked at the impact of probiotic supplements taken during pregnancy and found a 22% reduction in the risk of eczema developing in children up to the age of three.
But they found no evidence that avoiding foods such as nuts, dairy and eggs during pregnancy made any difference to a child's allergy risk.
No impact from fruit or vegetables
Fruit, vegetable and vitamin intake appeared to have no impact either, the study published in the journal PLOS Medicine found.
Seif Shaheen, professor of respiratory epidemiology at Queen Mary University of London, said the research added to the growing evidence of a link between diet during pregnancy and breastfeeding and preventing childhood allergies.
"More definitive answers on the possible role of maternal probiotic and fish oil supplementation in the prevention of childhood allergic disease can only come from further large trials which follow up the children to school age," he said.
"If such trials are big enough, they may be able to identify particular subgroups of mothers and children who would benefit most from these interventions."