Background and Objectives: Early detection of neonatal sepsis is critical because it is potentially fatal. Therefore, sepsis biomarkers of sufficient sensitivity and specificity are needed. This study aimed to evaluate the utility of peripheral blood parameters as neonatal sepsis biomarkers and the diagnostic performance of the monocyte distribution width (MDW) in sepsis in a neonatal intensive care unit. Materials and Methods: A cross-sectional study was conducted from September 2019 to August 2020 at the King Saud University Medical City in Riyadh, Saudi Arabia. Samples were collected and organised as follows: 77 study cases were subdivided into two subgroups ((other health complication (49) and sepsis (28)), and there were 70 controls. The causative microorganisms of neonatal sepsis were isolated. Peripheral blood samples were collected from each neonate in an ethylenediaminetetraacetic acid tube for a complete blood count and a leukocyte differential count. Moreover, the receiver operating characteristic (ROC) curve analysis was used to measure the diagnostic performance of the MDW. Results: The haematological parameters and neonatal sepsis cases had a considerable correlation. The MDW was the most significant haematological parameter. The ROC analysis of the MDW demonstrated that the area under the curve was 0.89 (95% confidence interval: 0.867 to 0.998) with a sensitivity of 89.3%, a specificity of 88.2%, and a negative predictive value of 97.2% at the cut-off point of 23. Conclusions: The use of haematological parameters is feasible and can be performed rapidly. Neonatal sepsis showed a strong correlation with leukopenia, anaemia, thrombocytopenia, and an elevated MDW value. Moreover, the ROC curve analysis confirmed the high diagnostic ability of the MDW in neonatal sepsis prediction.