Neonates are born with an immature immune system, which develops during the first stages of life. This early immaturity is more acute in preterm newborns. The aim of the present study was to set up a preterm rat model, in which representative biomarkers of innate and adaptive immunity maturation that could be promoted by certain dietary interventions are established. Throughout the study, the body weight was registered. To evaluate the functionality of the intestinal epithelial barrier, in vivo permeability to dextrans was measured and a histomorphometric study was performed. Furthermore, the blood cell count, phagocytic activity of blood leukocytes and plasmatic immunoglobulins (Ig) were determined. Preterm rats showed lower erythrocyte and platelet concentration but a higher count of leukocytes than the term rats. Although there were no changes in the granulocytes’ ability to phagocytize, preterm monocytes had lower phagocytic activity. Moreover, lower plasma IgG and IgM concentrations were detected in preterm rats compared to full-term rats, without affecting IgA. Finally, the intestinal study revealed lower permeability in preterm rats and reduced goblet cell size. Here, we characterized a premature rat model, with differential immune system biomarkers, as a useful tool for immunonutritional studies aimed at boosting the development of the immune system.