Almost half of all preterm births are caused or triggered by an inflammatory process at the feto-maternal interface resulting in preterm labor or rupture of membranes with or without chorioamnionitis (“first inflammatory hit”). Preterm babies have highly vulnerable body surfaces and immature organ systems. They are postnatally confronted with a drastically altered antigen exposure including hospital-specific microbes, artificial devices, drugs, nutritional antigens, and hypoxia or hyperoxia (“second inflammatory hit”). This is of particular importance to extremely preterm infants born before 28 weeks, as they have not experienced important “third-trimester” adaptation processes to tolerate maternal and self-antigens. Instead of a balanced adaptation to extrauterine life, the delicate co-regulation between immune defense mechanisms and immunosuppression (tolerance) to allow microbiome establishment is therefore often disturbed. Hence, preterm infants are predisposed to sepsis but also to several injurious conditions that can contribute to the onset or perpetuation of sustained inflammation (SI). This is a continuing challenge to clinicians involved in the care of preterm infants, as SI is regarded as a crucial mediator for mortality and the development of morbidities in preterm infants. This review will outline the (i) role of inflammation for short-term consequences of preterm birth and (ii) the effect of SI on organ development and long-term outcome.