Background: The mechanisms underlying ferroptosis in neonatal hypoxic-ischemic brain damage (HIBD) remain unclear. Method: Four microarray datasets were collected from the GEO database (three mRNA datasets GSE23317, GSE144456, and GSE112137, and one miRNA microarray dataset GSE184939). Weighted gene co-expression network analysis (WGCNA) was used to identify modules of HIBD-related genes. The ferroptosis-related genes were extracted from FerrDb, of which closely correlated to HIBD were obtained after the intersection with existing HIBD’s DEGs. Gene Ontology (GO) and Kyoto Encyclopedia of Genes and Genomes (KEGG) pathway enrichment analysis, as well as protein–protein interaction (PPI) network analysis were subsequently conducted. Cytoscape was used to identify central genes. Immune cell infiltration analysis was performed by the CIBERSORT algorithm. Result: Fifty-six ferroptosis-related differentially expressed genes (FRDEGs) were screened, mainly related to ferroptosis, autophagy, hypoxia response, metabolic pathways, and immune inflammation. The seven optimal hub FRDEGs were obtained by intersecting with key modules of WGCNA. Then, the expression levels of the seven optimal hub FRDEGs were validated in the GSE144456 and GSE112137 datasets, and the ferroptosis-related mRNA-miRNA network was established. In addition, this study revealed immune cell infiltration in the HIBD cerebral cortex and the interaction between immune cells. Moreover, notably, specific FRDEGs were strongly positively correlated with immune function. Conclusions: The mechanism of ferroptosis is intricate and closely related to neonatal HIBD. Therefore, targeting ferroptosis-related gene therapy and immunotherapy may have therapeutic prospects for neonatal HIBD.