Routine use of continuous positive airway pressure (CPAP) to support preterm infants with respiratory distress is an evidenced-based strategy to decrease incidence of bronchopulmonary dysplasia. However, rates of CPAP failure remain unacceptably high in very premature neonates, who are at high risk for developing bronchopulmonary dysplasia. Using the GRADE framework to assess the quality of available evidence, this article reviews strategies aimed at decreasing CPAP failure, starting with delivery room interventions and followed through to system-based efforts in the neonatal intensive care unit. Despite best efforts, some very premature neonates fail CPAP. Also reviewed are predictors of CPAP failure in this vulnerable population.