Aim(i) To compare perfusion index (PI) and plethysmography variability index (PVI) between neonates with proven or probable sepsis versus no‐sepsis, (ii) to examine an association of PI and PVI with in‐hospital mortality.MethodsWe enrolled neonates with clinically presumed sepsis. Culture‐proven or probable sepsis were categorised as ‘cases’ and no‐sepsis as ‘controls’. PI and PVI were recorded hourly for 120 h and averaged in 20‐time epochs (0–6 h to 115–120 h).ResultsWe analysed 148 neonates with sepsis (proven sepsis = 77, probable sepsis = 71) and 126 with no‐sepsis. Neonates with proven/probable sepsis and no‐sepsis had comparable PI and PVI values. Among 148 neonates with sepsis, 43 (29%) died. Non‐survivors had significantly lower PI values than survivors (mean difference 0.21 [95% CI 0.14–0.29], p‐value <0.001). PI had a significant but modest discriminative ability to identify non‐survivors. However, PI did not independently predict mortality.ConclusionNeonates with proven/probable sepsis and no‐sepsis had comparable PI and PVI values in the first 120 h of sepsis. PI but not PVI values were significantly lower in non‐survivors than survivors. PI did not independently predict in‐hospital mortality. Due to modest discriminative ability, PI should be interpreted along with other vital signs to take clinical decisions.