Purpose To evaluate the effect of neonatal hypoxic–ischaemic injury on the retina and the optic nerve and to correlate ocular damage with systemic parameters, laboratory tests, neurological imaging and therapeutic hypothermia at birth. Methods Forty-one children with hypoxic–ischaemic encephalopathy (HIE) at birth (9.09 ± 3.78 years) and a control group of 38 healthy subjects (9.57 ± 3.47 years) were enrolled in a cohort study. The HIE population was divided into three subgroups, based on the degree of encephalopathy according to Sarnat score and the treatment with therapeutic hypothermia (TH): Sarnat score I not treated with hypothermia, Sarnat score II-III treated with TH and Sarnat score II-III not subjected to TH. Total macular thickness, individual retinal layers and peripapillary nerve fibre layer thickness were measured with spectral-domain optical coherence tomography. Clinical data of perinatal period of HIE children were collected: APGAR score, pH and base excess of funiculus blood at birth, apnoea duration, brain ultrasound, cerebral MRI ischaemic lesions and blood chemistry tests. Results Children with Sarnat score I did not show a reduction of peripapillary nerve fibres and ganglion cell layer compared to the control group (p = 0.387, p = 0.316). Peripapillary nerve fibre layer was 109.06 ± 7.79 μm in children with Sarnat score II-III treated with TH, 108.31 ± 7.83 μm in subjects with Sarnat score II-III not subjected to TH and 114.27 ± 6.81 μm in the control group (p = 0.028, p = 0.007). Ganglion cell layer was thinner in children with Sarnat score II-III treated with TH (50.31 ± 5.13 μm) compared to the control group (54.04 ± 2.81 μm) (p = 0.01). Inner retinal layers damage correlated with C-reactive protein and lactate dehydrogenase increase, while higher levels of total bilirubin were protective against retinal impairment (p < 0.05). Cerebral oedema was related to peripapillary nerve fibre layer damage (p = 0.046). Conclusions Thickness reduction of inner retinal layer and peripapillary nerve fibre impairment was related to encephalopathy severity. Ocular damage was associated with inflammation and cerebral oedema following hypoxic–ischaemic damage.