Very preterm birth (VPT; < 32 weeks of gestation) has been associated with an increased risk to develop cognitive and socio-emotional problems, as well as with increased vulnerability to psychiatric disorder, both with childhood and adult onset. Socio-emotional impairments that have been described in VPT individuals include diminished social competence and self-esteem, emotional dysregulation, shyness and timidity. However, the etiology of socio-emotional problems in VPT samples and their underlying mechanisms are far from understood. To date, research has focused on the investigation of both biological and environmental risk factors associated with socio-emotional problems, including structural and functional alterations in brain areas involved in processing emotions and social stimuli, perinatal stress and pain and parenting strategies. Considering the complex interplay of the aforementioned variables, the review attempts to elucidate the mechanisms underlying the association between very preterm birth, socio-emotional vulnerability and psychopathology. After a comprehensive overview of the socio-emotional impairments associated with VPT birth, three main models of socio-emotional development are presented and discussed. These focus on biological vulnerability, early life adversities and parenting, respectively. To conclude, a developmental framework is used to consider different pathways linking VPT birth to psychopathology, taking into account the interaction between medical, biological, and psychosocial factors.