Background: Right shift of the peripheral oxyhaemoglobin saturation (SpO<sub>2</sub>) versus inspired oxygen pressure (P<sub>I</sub>O<sub>2</sub>) curve is a sensitive marker of pulmonary gas exchange. Objectives: The aim of this study was to assess the impact of prematurity and bronchopulmonary dysplasia (BPD) on gas exchange and right-to-left shunt in the neonatal period, and its evolution over the first year of life. Method: We assessed shift and shunt in extremely preterm (EP) and very preterm (VP) infants at 36 and 44 weeks’ postmenstrual age (PMA), and at 1-year corrected postnatal age (cPNA). P<sub>I</sub>O<sub>2</sub> was decreased stepwise to achieve SpO<sub>2</sub> between 85 and 98%. Shift and shunt were calculated from paired SpO<sub>2</sub>/P<sub>I</sub>O<sub>2</sub> measurements using customized software. Results were examined cross-sectionally at each time point, and longitudinally using generalized linear regression. Term infants were assessed at 44 wk PMA as a comparative reference. Results: Longitudinal modelling showed continuous decline in shift in EP and VP infants during the first year of life. There was no difference in shift compared to term infants at 44 wk PMA (p = 0.094). EP infants with BPD had higher shift than infants without BPD at 36 wk PMA (p < 0.001) and 44 wk PMA (p = 0.005) but not at 1-year cPNA. Conclusions: In the absence of lung disease, prematurity per se did not result in reduced gas exchange at 1-year cPNA. We report ongoing, significant improvements in pulmonary gas exchange in all preterm infants during the first year of life, despite evidence of early deficits in gas exchange in EP infants with BPD.