Preterm infants have increased risk of neonatal sepsis, potentially inducing brain injury, and they may benefit from early initiation of enteral milk feeding. Using preterm pigs as models, we hypothesized that early provision of bovine colostrum to parentally nourished newborns protects against sepsis and neuroinflammation during bloodstream infection. Preterm newborn pigs were administered 10 CFU/kg of intra-arterial Staphylococcus epidermidis (SE, an opportunistic pathogen often causing sepsis in preterm infants), followed by administration of total parenteral nutrition (TPN, SE + TPN, n = 15) or oral provision of bovine colostrum with supplementary parenteral nutrition (SE + COL, n = 14), and compared with uninfected, TPN-nourished controls (CON + TPN, n = 11). SE-infected animals showed multiple signs of sepsis, including lethargy, hypotension, respiratory acidosis, internal organ hemorrhages, cellular responses (leukopenia, thrombocytopenia), brain barrier disruption and neuroinflammation. At 24 h, colostrum supplementation reduced the SE abundance in blood and cerebrospinal fluid (CSF, both p < 0.05). Further, colostrum feeding normalized arterial blood pressure (38.5 ± 1.20 vs 30.6 ± 3.79 mmHg), pH (7.37 ± 0.02 vs 7.10 ± 0.07) and lactate (1.01 ± 0.11 vs 4.20 ± 1.20 mM, all p < 0.05), and increased motor activity, to levels in controls (p < 0.001). Finally, colostrum-fed animals showed reduced blood-CSF barrier permeability and CSF leukocyte levels, and this was accompanied by normalized gene expression of tight junction proteins (Occludin, Claudin-5, both p < 0.05) and reduced expression of leukocyte chemoattractants (CXCL9-11, all p < 0.01). Early oral supplementation with bovine colostrum prevents septic shock and ameliorates brain barrier disruption and neuroinflammation during bloodstream infection in preterm pigs. Bovine colostrum supplementation may improve resistance against systemic infection in immature, immune-compromised preterm infants.