Oxygen toxicity continues to be one of the inevitable injuries to the immature lung. Reactive oxygen species (ROS) production is the initial step leading to lung injury and, subsequently, the development of bronchopulmonary dysplasia (BPD). Today, BPD remains the most important disease burden following preterm delivery and results in life-long restrictions in lung function and further important health sequelae. Despite the tremendous progress in the pathomechanistic understanding derived from preclinical models, the clinical needs for preventive or curative therapies remain unmet. This review summarizes the clinical progress on guiding oxygen delivery to the preterm infant and elaborates future directions of research that need to take into account both hyperoxia and hypoxia as ROS sources and BPD drivers. Many strategies have been tested within clinical trials based on the mechanistic understanding of ROS actions, but most have failed to prove efficacy. The majority of these studies were tested in an era before the latest modes of non-invasive respiratory support and surfactant application were introduced or were not appropriately powered. A comprehensive re-evaluation of enzymatic, antioxidant, and anti-inflammatory therapies to prevent ROS injury is therefore indispensable. Strategies will only succeed if they are applied in a timely and vigorous manner and with the appropriate outcome measures.