Lactoferrin (Lf) is the major whey protein in milk, with multiple beneficial health effects including direct antimicrobial activities, anti-inflammatory effects, and iron homeostasis. Oral Lf supplementation in human preterm infants has been shown to reduce the incidence of sepsis and necrotizing enterocolitis. In preclinical models of antenatal stress and perinatal brain injury, bovine Lf protected the developing brain from neuronal loss, improved connectivity, increased neurotrophic factors, and decreased inflammation. It also supported brain development and cognition. Further, Lf can prevent preterm delivery by reducing proinflammatory factors and inhibiting premature cervix maturation. We review here the latest research on Lf in the field of neonatology.