Background: Preterm infants ≤32 weeks' gestation are increasingly being managed on continuous positive airway pressure (CPAP), without prior intubation and surfactant therapy. Some infants treated in this way ultimately fail on CPAP and require intubation and ventilation. Objectives: To define the incidence, predictors and consequences of CPAP failure in preterm infants managed with CPAP from the outset. Methods: Preterm infants 25-32 weeks' gestation were included in the study if inborn and managed with CPAP as the initial respiratory support, with division into two gestation ranges and grouping according to whether they were successfully managed on CPAP (CPAP-S) or failed on CPAP and required intubation <72 h (CPAP-F). Predictors of CPAP failure were sought, and outcomes compared between the groups. Results: 297 infants received CPAP, of which 65 (22%) failed, with CPAP failure being more likely at lower gestational age. Most infants failing CPAP had moderate or severe respiratory distress syndrome radiologically. In multivariate analysis, CPAP failure was found to be predicted by the highest FiO2 in the first hours of life. CPAP-F infants had a prolonged need for respiratory support and oxygen therapy, and a higher risk of death or bronchopulmonary dysplasia at 25-28 weeks' gestation (CPAP-F 53% vs. CPAP-S 14%, relative risk 3.8, 95% CI 1.6, 9.3) and a substantially higher risk of pneumothorax at 29-32 weeks. Conclusion: CPAP failure in preterm infants usually occurs because of unremitting respiratory distress syndrome, is predicted by an FiO2 ≥0.3 in the first hours of life, and is associated with adverse outcomes.