If you happen to have a Pokémon that comes from a different country that isn't matched with a Pokémon that also comes from a different country, then passing natures to baby Pokémon will not work. For example, Pokémon from Kentucky isn't working with Pokémon from Brazil, and even Pokémon from Egypt isn't working with Pokémon from Spain. This feature is removed in the fifth generation, and the Masuda method is still active for both generations.
Pokémon breeding - Bulbapedia, the community-driven Pokémon encyclopedia