Premature infants are exposed to increased generation of reactive oxygen species, and on the other hand, they have a deficient antioxidant defense system. Oxidative insult is a salient part of lung injury that begins as acute inflammatory injury in respiratory distress disease and then evolves into chronic and structural scarring leading to bronchopulmonary dysplasia. Oxidative stress is also involved in the pathogenesis of pulmonary hypertension in newborns through the modulation of the vascular tone and the response to pulmonary vasodilators, with consequent decrease in the density of the pulmonary vessels and thickening of the pulmonary arteriolar walls. Oxidative stress has been recognized as both a trigger and an endpoint for several events, including inflammation, hypoxia, hyperoxia, drugs, transfusions, and mechanical ventilation, with impairment of pulmonary function and prolonged lung damage. Redoxomics is the most fascinating new measure to address lung damage due to oxidative stress. The new challenge is to use omics data to discover a set of biomarkers useful in diagnosis, prognosis, and formulating optimal and individualized neonatal care. The aim of this review was to examine the most recent evidence on the relationship between oxidative stress and lung diseases in preterm newborns. What is currently known regarding oxidative stress-related lung injury pathogenesis and the available preventive and therapeutic strategies are also discussed.