Background: Erythropoietin (EPO) is a glycoprotein hormone produced predominantly in the kidneys. The protective effect of exogenous EPO in hypoxic-ischemic brain injury has been thoroughly examined in neonates. However, the metabolism of endogenous EPO in neonates remains unclear. Objectives: We aimed to evaluate the concentration of urinary EPO (uEPO) in critically ill neonates and to identify possible clinical and laboratory variables that may be associated with uEPO levels. Methods: The concentrations of EPO, cystatin-C, microalbumin, and α1-microglobulin in the first available urine sample during the initial 72 h of life were measured in 103 critically ill neonates. Clinical and laboratory data were collected for each neonate. Results: There was a positive correlation between uEPO levels and urinary levels of cystatin-C (r = 0.265, p = 0.008), microalbumin (r = 0.422, p < 0.001), and α1-microglobulin (r = 0.421, p < 0.001). The concentration of uEPO was elevated in neonates who developed acute kidney injury (AKI) during the first week of life compared with those without AKI (p = 0.002) and was also elevated in neonates with brain injury, as demonstrated by ultrasound or magnetic resonance imaging, compared to neonates without brain injury (p = 0.008). An increased log10 uEPO level was associated with the occurrence of AKI (OR 2.70, p = 0.007) and brain injury (OR 2.33, p = 0.016). Conclusions: An increased urinary EPO level in the early postnatal period is significantly associated with kidney and brain injury in critically ill neonates.