Approximately 11.1% of all newborns worldwide are born preterm. Improved neonatal intensive care significantly increased survival rates over the last decades but failed to reduce the risk for the development of chronic lung disease (i.e., bronchopulmonary dysplasia (BPD)) and impaired neurodevelopment (i.e., encephalopathy of prematurity (EoP)), two major long-term sequelae of prematurity. Premature infants are exposed to relative hyperoxia, when compared to physiological in-utero conditions and, if needed to additional therapeutic oxygen supplementation. Both are associated with an increased risk for impaired organ development. Since the detrimental effects of hyperoxia on the immature retina are known for many years, lung and brain have come into focus in the last decade. Hyperoxia-induced excessive production of reactive oxygen species leading to oxidative stress and inflammation contribute to pulmonary growth restriction and abnormal neurodevelopment, including myelination deficits. Despite a large body of studies, which unraveled important pathophysiological mechanisms for both organs at risk, the majority focused exclusively either on lung or on brain injury. However, considering that preterm infants suffering from BPD are at higher risk for poor neurodevelopmental outcome, an interaction between both organs seems plausible. This review summarizes recent findings regarding mechanisms of hyperoxia-induced neonatal lung and brain injury. We will discuss common pathophysiological pathways, which potentially link both injured organ systems. Furthermore, promises and needs of currently suggested therapies, including pharmacological and regenerative cell-based treatments for BPD and EoP, will be emphasized. Limited therapeutic approaches highlight the urgent need for a better understanding of the mechanisms underlying detrimental effects of hyperoxia on the lung-brain axis in order to pave the way for the development of novel multimodal therapies, ideally targeting both severe preterm birth-associated complications.