Oxidative stress is thought to be one of the common mechanisms for several neonatal diseases in premature infants. Moreover, fat-soluble antioxidant vitamins, i.e., retinol and α-tocopherol, have been found to be low in preterm neonates; however, data are limited. The aim of this was to assess the circulating α-tocopherol and retinol concentrations in preterm infants at birth and investigate if they are related to gestational age. Retinol and α-tocopherol were measured on the first day after birth in 30 preterm neonates with HPLC. Means ± SD of serum retinol and α-tocopherol were 392.0 ± 162.9 μg/L and 6.83 ± 3.02 mg/L, respectively. In total, 73% of infants had a very low birth weight (<1500 g) and 23.3% were small for gestational age (SGA). Moreover, 10% of neonates had a retinol deficiency and 20% had an α-tocopherol deficiency. The retinol concentration was lower in SGA infants compared to appropriate for gestational age ones (340.85 ± 75.89 vs. 407.60 ± 179.83 μg/L, correspondingly p = 0.030). Retinol was linearly related to gestational age (Pearson’s rho = 0.84, p < 0.001) but the association did not remain significant after an adjustment for birth weight (partial rho = 0.193, p = 0.316). α-tocopherol was nonlinearly associated with gestational age (Spearman’s rho = 0.470, p = 0.044). The assessment of the vitamin status and potential deficiency in neonates is crucial in order to appropriately support the nutritional needs of newborns.