The survival of preterm babies has increased over the last few decades. However, disorders associated with preterm birth, known as oxygen radical diseases of neonatology, such as retinopathy, bronchopulmonary dysplasia, periventricular leukomalacia, and necrotizing enterocolitis are severe complications related to oxidative stress, which can be defined by an imbalance between oxidative reactive species production and antioxidant defenses. Oxidative stress causes lipid, protein, and DNA damage. Preterm infants have decreased antioxidant defenses in response to oxidative challenges, because the physiologic increase of antioxidant capacity occurs at the end of gestation in preparation for the transition to extrauterine life. Therefore, preterm infants are more sensitive to neonatal oxidative stress, notably when supplemental oxygen is being delivered. Furthermore, despite recent advances in the management of neonatal respiratory distress syndrome, controversies persist concerning the oxygenation saturation targets that should be used in caring for preterm babies. Identification of adequate biomarkers of oxidative stress in preterm infants such as 8-iso-prostaglandin F2α, and adduction of malondialdehyde to hemoglobin is important to promote specific therapeutic approaches. At present, no therapeutic strategy has been validated as prevention or treatment against oxidative stress. Breastfeeding should be considered as the main measure to improve the antioxidant status of preterm infants. In the last few years, melatonin has emerged as a protective molecule against oxidative stress, with antioxidant and free-radical scavenger roles, in experimental and preliminary human studies, giving hope that it can be used in preterm infants in the near future.