Substantial differences of heart rate variability (HRV) were found between fetuses and prematurely born neonates in the high-frequency band of the power spectrum. The range of post-menstrual ages of the fetuses and neonates were closely matched in this study. Growth of HRV was observed in low-frequency and high-frequency bands, reflecting maturation of the autonomic nervous system. The higher level of fetal HRV in the high-frequency band persisted even after accounting for age-related changes. Multiscale entropy was also higher in fetuses than in prematurely born neonates. These results suggest that the autonomic balance is poorer among neonates born prematurely than in fetuses of identical post-menstrual age.