The impact of hyperoxia-induced brain injury in preterm infants is being increasingly investigated. However, the parameters and protocols used to study this condition in animal models lack consistency. Research is further hampered by the fact that hyperoxia exerts both direct and indirect effects on oligodendrocytes and neurons, with the precise underlying mechanisms remaining unclear. In this article, we aim to provide a comprehensive overview of the conditions used to induce hyperoxia in animal models of immature brain injury. We discuss what is known regarding the mechanisms underlying hyperoxia-induced immature brain injury, focusing on the effects on oligodendrocytes and neurons, and briefly describe therapies that may counteract the effects of hyperoxia. We also identify further studies required to fully elucidate the effects of hyperoxia on the immature brain as well as discuss the leading therapeutic options.