An observational comparative study was designed to assess the fatty acids profile in erythrocyte membrane phospholipids of 30 preterm neonates (<32 weeks gestation) at birth and after 1 month of life versus a convenience sample of 10 infants born at term. The panel of fatty acids included the families and components of saturated fatty acids (SFAs), monounsaturated fatty acids (MUFAs), and n-6 and n-3 polyunsaturated fatty acids (PUFAs) as well as enzyme activity indexes and fatty acids ratios. At birth, the comparison of fatty acid families between preterm and term neonates showed a significantly higher content of SFAs and n-6 PUFAs, and a significantly lower content of MUFAs and n-3 PUFAs in the preterm group. After 30 days of life, significantly higher levels of n-6 PUFAs and significantly lower levels of n-3 PUFAs among preterm neonates persisted. At 30 days of birth, n-6 PUFA/n-3 PUFA and arachidonic acid (ARA) ARA/DHA remained significantly elevated, and DHA sufficiency index significantly decreased in the preterm group. The pattern of n-3 PUFA deficiency at birth and sustained for the first month of life would support the need of milk banking fortified with DHA and the use of DHA supplementation in breastfeeding mothers.