One in 10 newborns will be born before completion of 36 weeks’ gestation (premature birth). Infection and sepsis in preterm infants remain a significant clinical problem that represents a substantial financial burden on the healthcare system. Many factors predispose premature infants for having the greatest risk of developing and succumbing to infection as compared with all other age groups across the age spectrum. It is clear that the immune system of preterm infants exhibits distinct, rather than simply deficient, function as compared with more mature and older humans and that the immune function in preterm infants contributes to infection risk. While no single review can cover all aspects of immune function in this population, we will discuss key aspects of preterm neonatal innate and adaptive immune function that place them at high risk for developing infections and sepsis, as well as sepsis-associated morbidity and mortality.