As preterm birth rates are globally increasing, together with research on preterms’ peculiar needs, neonatologists are still facing the challenge of how to properly feed them. The need to strike a balance between excessive catch-up growth and extrauterine growth retardation, both leading to adverse outcomes, is made even more difficult by the broad range of preterms’ needs. Although mother’s fresh milk is undoubtedly the best nourishment, its availability during hospital stay is often lower than recommended, and its fortification at discharge is still an open issue. Formula milks are available as an alternative to breast milk. However, choosing the right formula requires a thorough evaluation of the infant’s perinatal history and targets. Last but not least, adequate timing and initiation of weaning in premature babies are still a poorly explored matter. This narrative review aims at evaluating the multitude of issues to consider when feeding preterms in the three stages of their first life: in-hospital care, discharge, and, eventually, weaning. Given the current absence of internationally shared guidelines, understanding the potential pitfalls of preterms’ nutrition could help us trace the right path for the right preterm.