Among preterm infants, the risk of developing asthma is a matter of debate. This review discusses the state of the art of poorly understood prematurity-associated asthma. Impaired pulmonary function is common in children born prematurely. Preterm infants are prone to developing viral respiratory tract infections, bronchiolitis in the first year of life, and recurrent viral wheezing in preschool age. All of these conditions may precede asthma development. We also discuss the role of both atopic sensitization and intestinal microbiome and, consequently, immune maturation. Diet and pollution have been considered to better understand how prematurity could be associated with asthma. Understanding the effect of factors involved in asthma onset may pave the way to improve the prediction of this asthma phenotype.