Immune status in the early life of preterm infants and its association with late onset infection has not been fully described. To investigate immune status of lymphocyte subsets in the first week in preterm neonates and its association with late onset infection, 143 preterm neonates (84 neonates ≤32 weeks, 59 neonates of 33–36 weeks) and 49 term neonates were recruited. Absolute counts and percentages of lymphocyte subsets were measured by flow cytometry in umbilical cord or venous blood at birth (in all neonates), on day 3 and 7 (in preterm neonates). The presence of late onset infection was recorded in very preterm neonates ≤32 weeks. At birth, absolute counts of most lymphocyte subsets in all preterm neonates and percentages of B cell and NK cell in those ≤32 weeks were reduced compared with term neonates. Absolute counts of all the subsets in preterm neonates showed decline after birth then beginning to rise after day 3. Late onset infections were documented in 33 of 84 very preterm infants ≤32 weeks and 27 of 45 very preterm infants ≤30 weeks. Percentages of NK cell at birth in very preterm neonates ≤30 weeks with late onset infection were significantly reduced compared with those without infection (P < 0.01). In conclusion, immune status of lymphocyte subsets in preterm neonates at birth is less developmental than in term neonates, in spite of the ability of getting improvement in the first week. Reduced NK cell percentage at birth would increase the risk of subsequent infection in very preterm infants.