The response of the adaptive immune system is usually less intense in premature neonates than term neonates. The primary objective of this study was to determine whether immunological parameters vary between preterm (PT) neonates (≥32 weeks of gestational age) and very preterm (VPT) neonates (<32 weeks of gestational age). A cross-sectional study was designed to prospectively follow PT and VPT neonates at risk of developing sepsis. Plasma concentrations of IFN-γ, TNF-α, IL-6, IL-4, and IL-10 were detected using flow cytometry. C-reactive protein (C-RP) and the complex SC5b-9 were detected in the plasma using commercial kits. A total of 83 patients were included. The laboratory results and clinical histories showed that 26 patients had sepsis; 14 were VPT, and 12 were PT. The levels of C-RP, SC5b-9 (innate immune response mediators), and IL-10 or IL-4 (anti-inflammatory cytokines) were elevated during sepsis in both groups. IFN-γ, TNF-α, and IL-6 (proinflammatory cytokines) were differentially elevated only in PT neonates. The VPT neonates with sepsis presented increases in C-RP, SC5b-9, and anti-inflammatory cytokines but not in proinflammatory cytokines, whereas PT neonates showed increases in all studied mediators of inflammation.