Autonomic nervous system (ANS) balance is a key factor in homeostatic control of cardiac activity, breathing and certain reflex reactions such as coughing, sneezing and swallowing and thus plays a crucial role for survival. ANS impairment has been related to many neonatal pathologies, including sudden infant death syndrome (SIDS). Moreover, some conditions have been identified as risk factors for SIDS, such as prone sleep position. There is an urgent need for timely and non-invasive assessment of ANS function in at-risk infants. Systematic measurement of heart rate variability (HRV) offers an optimal approach to access indirectly both sympathetic and parasympathetic influences on ANS functioning. In this paper, data from premature infants collected in a sleep physiology laboratory in the NICU are presented: traditional and novel approaches to HRV analyses are applied and compared in order to evaluate their relative merits in the assessment of ANS activity and the influence of sleep position. Indices from time domain and nonlinear approaches contributed as markers of physiological development in premature infants. Moreover, significant differences were observed as a function of sleep position.