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The behaviour problems of children born preterm at school age are well known, but there have been few studies on the behaviour problems of preterm-born infants during infancy and at preschool age. Fourteen cohort studies published in PubMed and PsycINFO between 2000 and 2012 were reviewed with a focus on the type, occurrence, comorbidity, stability, prediction, perinatal, social, and relational risk factors for behaviour problems of preterm-born children in infancy (0–2y) and at preschool age (3–5y). The relational risk factor was considered in an additional four papers. Very-preterm, very-low-birthweight, and moderately-preterm children, in both age groups, show more behaviour problems than term-born comparison children even after perinatal and social risk factors and cognitive performance have been controlled for. Poor social/interactive skills, poor behavioural and emotional self-regulation, emotional difficulties, and reduced attention are the most common behaviour problems. Behaviour problems in infancy are predictive of later behaviour problems and they should be included in follow-up programmes.