The use of high-flow nasal cannula (HFNC) therapy as respiratory support for preterm infants has increased rapidly worldwide. The evidence available for the use of HFNC is as an alternative to nasal continuous positive airway pressure (CPAP) and in particular to prevent postextubation failure. We report a case of tension pneumocephalus in a preterm infant as a complication during HFNC ventilation. Significant neurological impairment was detected and support was eventually withdrawn. Few cases of pneumocephalus as a complication of positive airway pressure have been reported in the neonatal period, and they all have been related to CPAP. This report reinforces the need to be aware of this rare but possible complication during HFNC therapy, as timely diagnosis and treatment can prevent neurological sequelae. We also stress the importance of paying close attention to flow rate, nasal cannula size and insertion, and mouth position, and of regularly checking insertion depth.