Neonates, particularly those born prematurely, are among the most vulnerable age group for morbidity and mortality due to infections. Immaturity of the innate immune system and a high need for invasive medical procedures in the context of a preterm birth make these infants highly susceptible to common neonatal pathogens. Preterm infants who survive may also suffer permanent disabilities due to organ damage resulting from either the infection itself or from the inflammatory response generated under an oxidative stress. Infections in preterm infants continue to pose important healthcare challenges. Yet, developmental maturation events in the innate immune system that underlie their excessively high vulnerability to infection remain largely understudied. In this review article, we identify pertinent knowledge gaps that must be filled in order to orient future translational research.