Impaired lung development is a major negative factor in the survival of preterm neonates. The present study was aimed to investigate the impact of constant oxygen, intermittent hyperoxia, and hypoxia on the lung development in preterm rat neonates. Neonatal rats were exposed to 40% O2 with or without brief hyperoxia episodes (95% O2) or brief hypoxia episodes (10% O2) from day 0 to day 14, or to room air. The body weight, radical alveolar count (RAC), and total antioxidant capacity (TAOC) were significantly lower whereas the lung coefficient and malondialdehyde (MDA) were significantly higher in the hyperoxia and hypoxia groups than the air control and constant oxygen group at day 7, day 14, and day 21 after birth. The lung function indexes were reduced by intermittent hyperoxia and hypoxia. In contrast, the constant oxygen therapy increased the lung function. HIF‐1α and VEGF expression were significantly increased by hypoxia and decreased by hyperoxia. The constant oxygen therapy only decreased the HIF‐1α expression at day 14 and 21. In summary, the constant oxygen treatment promoted lung function without affecting the antioxidative capacity in preterm rat neonates. While intermittent hyperoxia and hypoxia inhibited lung development, decreased antioxidative capacity, and dysregulated HIF‐1α/VEGF signaling in preterm rat neonates.