Early adverse fetal environments can significantly disturb central nervous system (CNS) development and subsequently alter brain maturation. Nutritional status is a major variable to be considered during development and increasing evidence links neonate and preterm infant impaired brain growth with neurological and psychiatric diseases in adulthood. Breastfeeding is one of the main components required for healthy newborn development due to the many "constitutive" elements breastmilk contains. Maternal intake of specific nutrients during lactation may alter milk composition, thus affecting newborn nutrition and, potentially, brain development. Lactoferrin (Lf) is a major protein present in colostrum and the main protein in human milk, which plays an important role in the benefits of breastfeeding during postnatal development. It has been demonstrated that Lf has antimicrobial, as well as anti-inflammatory properties, and is potentially able to reduce the incidence of sepsis and necrotizing enterocolitis (NEC), which are particularly frequent in premature births. The anti-inflammatory effects of Lf can reduce birth-related pathologies by decreasing the release of pro-inflammatory factors and inhibiting premature cervix maturation (also related to commensal microbiome abnormalities) that could contribute to disrupting brain development. Pre-clinical evidence shows that Lf protects the developing brain from neuronal injury, enhances brain connectivity and neurotrophin production, and decreases inflammation in models of perinatal inflammatory challenge, intrauterine growth restriction (IUGR) and neonatal hypoxia-ischemia (HI). In this context, Lf can provide nutritional support for brain development and cognition and prevent the origin of neuropsychiatric diseases later in life. In this narrative review, we consider the role of certain nutrients during neurodevelopment linking to the latest research on lactoferrin with respect to neonatology. We also discuss new evidence indicating that early neuroprotective pathways modulated by Lf could prevent neurodegeneration through anti-inflammatory and immunomodulatory processes.