Behavioral epigenetics is revealing new pathways that lead individuals from early adversity exposures to later-in-life detrimental outcomes. Preterm birth constitutes one of the major adverse events in human development. Preterm infants are hospitalized in the Neonatal Intensive Care Unit (NICU) where they are exposed to life-saving yet pain-inducing procedures and to protective care. The application of behavioral epigenetics to the field of preterm studies (i.e., Preterm Behavioral Epigenetics, PBE) is rapidly growing and holds promises to provide valid insights for research and clinical activity. Here, the evidence of the epigenetic correlates of prenatal adversities, NICU-related environment and development of preterm infants is systematically reviewed. The findings suggest that a number of prenatal adverse (e.g., maternal depression and stress) and post-natal (e.g., NICU-related pain-related stress) events affect the developmental trajectories of preterm infants and children via epigenetic alterations of imprinted and stress-related genes. Nonetheless, the potential epigenetic vestiges of early care and protective interventions in NICU have not been investigated yet and this represents a fascinating challenge for future PBE research.