Predation stress can induce phenotypic plasticity in the life history traits of prey, especially early-life traits such as developmental time. Most previous transgenerational studies have focused on two generations and showed that the transgenerational effects induced by predation stress were negative on offspring fitness. Changes in sex ratio can also be an expression of transgenerational effects, influenced by many environmental and parental conditions. In this study, by using the prey–predator system of Tyrophagus putrescentiae and Neoseiulus cucumeris, we tested whether immature survival, developmental time, and sex ratio of offspring could be influenced by transgenerational exposure to predation stress. We tested the transgenerational effects of predation pressure on early life traits of the offspring over three generations. The results showed that parental effects interacting with grandparental effects increased the immature survival rates of F3 offspring, and that parental effects combined with offspring effects shortened the development duration of F2 offspring. However, neither grandparental exposure to predation stress nor parental experience had any influence on the sex ratio of offspring over three generations.