Adequate nutrition is important for neurodevelopmental outcomes in preterm-born infants. In this review, we aim to summarize the current knowledge on nutritional interventions initiated during the hospital stay targeting brain and cognitive development benefits in preterm human infants. Studies can broadly be split in general dietary intervention studies and studies investigating specific nutrients or nutritional supplements. In general, mother’s breast milk was reported to be better for preterm infants’ neurodevelopment compared to infant formula. The differences in methodologies make it difficult to conclude any effects of interventions with individual nutrients. Only protein and iron level studies showed some consistent findings regarding optimal doses; however, confirmatory studies are needed. This review does not support some widely accepted associations, such as that between long-chain polyunsaturated fatty acid supplementation and visual development. Clear nutritional recommendations cannot be made based on this review. However, the type of infant nutrition (i.e., breast milk versus formula or donor milk), the timing of the nutritional intervention, and the dose of the nutrient/supplement have been found to be relevant factors in determining the success of nutritional intervention studies in preterm infants.