Preterm birth is a stressful event for families. In particular, the unexpectedly early delivery may cause negative feelings in mothers and fathers. The aim of this study was to examine the relationship between preterm birth, parental stress and negative feelings, and the environmental setting of NICU. 21 mothers (age = 36.00 ± 6.85) and 19 fathers (age = 34.92 ± 4.58) of preterm infants (GA = 30.96 ± 2.97) and 20 mothers (age = 40.08 ± 4.76) and 20 fathers (age = 40.32 ± 6.77) of full-term infants (GA = 39.19 ± 1.42) were involved. All parents filled out the Parental Stressor Scale: Neonatal Intensive Care Unit, the Impact of Event Scale Revised, Profile of Mood States, the Multidimensional Scale of Perceived Social Support and the Post-Partum Bonding Questionnaire. Our data showed differences in emotional reactions between preterm and full-term parents. Results also revealed significant differences between mothers and fathers’ responses to preterm birth in terms of stress, negative feelings, and perceptions of social support. A correlation between negative conditions at birth (e.g., birth weight and Neonatal Intensive Care Unit stay) and higher scores in some scales of Impact of Event Scale Revised, Profile of Mood States and Post-Partum Bonding Questionnaire were found. Neonatal Intensive Care Unit may be a stressful place both for mothers and fathers. It might be useful to plan, as soon as possible, interventions to help parents through the experience of the premature birth of their child and to begin an immediately adaptive mode of care.