Prematurity is the leading cause of neonatal deaths and high economic costs; it depends on numerous biological and social factors, and is highly prevalent in males. Several factors can affect the metabolome of premature infants. Accordingly, the aim of the present study was to analyze the role played by gestational age (GA), parenteral nutrition (PN), and caffeine treatment in sex-related differences of blood metabolome of premature neonates through a MS/MS-based targeted metabolomic approach for the detection of amino acids and acylcarnitines in dried blood spots. GA affected the blood metabolome of premature neonates: male and female very premature infants (VPI) diverged in amino acids but not in acylcarnitines, whereas the opposite was observed in moderate or late preterm infants (MLPI). Moreover, an important reduction of metabolites was observed in female VPI fed with PN, suggesting that PN might not satisfy an infant’s nutritional needs. Caffeine showed the highest significant impact on metabolite levels of male MLPI. This study proves the presence of a sex-dependent metabolome in premature infants, which is affected by GA and pharmacological treatment (e.g., caffeine). Furthermore, it describes an integrated relationship among several features of physiology and health.