Caffeine is one of the most commonly used drugs in intensive care to stimulate the respiratory control mechanisms of very preterm infants. Respiratory instability, due to the degree of immaturity at birth, results in apnea of prematurity (AOP), hyperoxic, hypoxic, and intermittent hypoxic episodes. Oxidative stress cannot be avoided as a direct reaction and leads to neurological developmental deficits and even a higher prevalence of respiratory diseases in the further development of premature infants. Due to the proven antioxidant effect of caffeine in early use, largely protective effects on clinical outcomes can be observed. This is also impressively observed in experimental studies of caffeine application in oxidative stress-adapted rodent models of damage to the developing brain and lungs. However, caffeine shows undesirable effects outside these oxygen toxicity injury models. This review shows the effects of caffeine in hyperoxic, hypoxic/hypoxic-ischemic, and intermittent hypoxic rodent injury models, but also the negative effects on the rodent organism when caffeine is administered without exogenous oxidative stress. The narrative analysis of caffeine benefits in cerebral and pulmonary preterm infant models supports protective caffeine use but should be given critical consideration when considering caffeine treatment beyond the recommended corrected gestational age.