Premature infants undergo a complex postnatal adaptation at birth. For last two centuries, oxygen has been integral to respiratory support of preterm infants at birth. Excess oxygen can cause oxidative stress and tissue injury. Preterm infants due to lung immaturity may need oxygen for successful transition at birth. Although, considerable progress has been made in the last 3 decades, optimum oxygen therapy for preterm delivery room resuscitation remains unknown. In this review, we discuss the history and physiology behind oxygen therapy in the delivery room, evaluate current literature, provide practice points and point out knowledge gaps of oxygen therapy in preterm infant at birth.