<b><i>Introduction:</i></b> Transcutaneous blood gas monitoring allows for continuous non-invasive evaluation of carbon dioxide and oxygen levels. Its use is limited as its accuracy is dependent on several factors. We aimed to identify the most influential factors to increase usability and aid in the interpretation of transcutaneous blood gas monitoring. <b><i>Methods:</i></b> In this retrospective cohort study, transcutaneous blood gas measurements were paired to arterial blood gas withdrawals in neonates admitted to the neonatal intensive care unit. The effects of patient-related, microcirculatory, macrocirculatory, respiratory, and sensor-related factors on the difference between transcutaneously and arterially measured carbon dioxide and oxygen values (ΔPCO<sub>2</sub> and ΔPO<sub>2</sub>) were evaluated using marginal models. <b><i>Results:</i></b> A total of 1,578 measurement pairs from 204 infants with a median [interquartile range] gestational age of 27<sup>3</sup>/<sub>7</sub> [26<sup>1</sup>/<sub>7</sub>–31<sup>3</sup>/<sub>7</sub>] weeks were included. ΔPCO<sub>2</sub> was significantly associated with the postnatal age, arterial systolic blood pressure, body temperature, arterial partial pressure of oxygen (PaO<sub>2</sub>), and sensor temperature. ΔPO<sub>2</sub> was, with the exception of PaO<sub>2</sub>, additionally associated with gestational age, birth weight Z-score, heating power, arterial partial pressure of carbon dioxide, and interactions between sepsis and body temperature and sepsis and the fraction of inspired oxygen. <b><i>Conclusion:</i></b> The reliability of transcutaneous blood gas measurements is affected by several clinical factors. Caution is recommended when interpreting transcutaneous blood gas values with an increasing postnatal age due to skin maturation, lower arterial systolic blood pressures, and for transcutaneously measured oxygen values in the case of critical illness.