Oxygen saturation monitoring of neonates is a demanding task, as oxygen saturation (SpO2) has to be maintained in a particular range. However, auditory displays of conventional pulse oximeters are not suitable for informing a clinician about deviations from a target range. A psychoacoustic sonification for neonatal oxygen saturation monitoring is presented. It consists of a continuous Shepard tone at its core. In a laboratory study it was tested if participants (N = 6) could differentiate between seven ranges of oxygen saturation using the proposed sonification. On average participants could identify in 84% of all cases the correct SpO2 range. Moreover, detection rates differed significantly between the seven ranges and as a function of the magnitude of SpO2 change between two consecutive values. Possible explanations for these findings are discussed and implications for further improvements of the presented sonification are proposed.