Background: Neonatal infection and sepsis are common for preterm infants due to their immature immune system. Early diagnosis is important for effective treatment, but few early markers of systemic and neuro-inflammatory responses in neonates are known. We hypothesised that systemic infection with Staphylococcus epidermidis (SE), a Gram-positive bacteria, induces acute changes to proteins in the plasma and cerebrospinal fluid (CSF), potentially affecting the immature brain of preterm neonates. Methods: Using preterm pigs as a model for preterm infants, plasma and CSF samples were collected up to 24 h after SE infection and investigated by untargeted mass spectrometry (MS)-based proteomics. Multiple differentially expressed proteins were further studied in vitro. Results: The clinical signs of sepsis and neuroinflammation in SE-infected piglets were associated with changes of multiple CSF and plasma proteins. Eight plasma proteins, including APOA4, haptoglobin, MBL1, vWF, LBP, and sCD14, were affected 6 h after infection. Acute phase reactants, including complement components, showed a time-dependent activation pattern after infection. Feeding bovine colostrum reduced the sepsis-related changes in clinical indices and plasma proteins. Neuroinflammation-related neuropeptide Y (NPY), IL-18, and MMP-14 showed distinct changes in the CSF and several brain regions (the prefrontal cortex, PVWM, and hippocampus) 24 h after infection. These changes were verified in TLR2 agonist-challenged primary microglia cells, where exogenous NPY suppressed the inflammatory response. Conclusion: Systemic infection with SE induces inflammation with rapid proteome changes in the plasma and CSF in preterm newborn pigs. The observed early markers of sepsis and neuroinflammation in preterm pigs may serve as novel biomarkers for sepsis in preterm infants.