An episode of sepsis occurs in 20 to 40% of all preterm patients, and such figures have been reported constantly increasing in Neonatal Intensive Care Units. Neonatal sepsis include bloodstream, urine, cerebrospinal, peritoneal infections, infections starting from burns and wounds, or from any other usually sterile sites. Many specific risk factors account for the increased risk of sepsis, including employment of broad-spectrum antibiotics selecting resistant microflora, parenteral nutrition, acid inhibitors and steroids, as well as the systematic and long-lasting use of invasive management. In preterm neonates, loss of gut commensals such as bifidobacteria and lactobacilli, due to the difficulties in oral feeding, or a slower acquisition of them, translates into an increased susceptibility to pathogenic gut colonization. Prompt diagnosis, effective treatment, and specific prophylaxis with antibacterial and antifungal drugs are the milestones of management of these life-threatening events. This article discusses the recent advances in prevention and shows how fluconazole for prevention of fungal sepsis, probiotics for prevention of necrotizing enterocolitis, and bovine lactoferrin for prevention of bacterial sepsis may be considered as effective preventive strategies.