The prevalence of preterm birth (PTB) is high worldwide, especially in developing countries like Brazil. PTB is marked by a stressful environment in intra- as well as extrauterine life, which can affect neurodevelopment and hormonal and physiological systems and lead to long-term negative outcomes. Nevertheless, little is known about PTB and related outcomes later on in childhood. Thus, the goals of the current study were threefold: (1) comparing cortisol and alpha-amylase (sAA) profiles, including cortisol awakening response (CAR), between preterm and full-term children; (2) evaluating whether preterm children are more responsive to acute stress and (3) assessing their memory skills and emotional and behavioral profiles. Basal cortisol and sAA profiles, including CAR of 30 preterm children, aged 6 to 10 years, were evaluated. Further, we assessed memory functions using the Wide Range Assessment of Memory and Learning, and we screened behavior/emotion using the Strengths and Difficulties Questionnaire. The results of preterm children were compared to an age- and sex-matched control group. One week later, participants were exposed to a standardized laboratory stressor [Trier Social Stress Test for Children (TSST-C)], in which cortisol and sAA were measured at baseline, 1, 10 and 25 min after stressor exposure. Preterm children had higher cortisol concentrations at awakening, a flattened CAR and an exaggerated response to TSST-C compared to full-term children. These alterations were more pronounced in girls. In addition, preterm children were characterized by more emotional problems and poorer memory performance. Our findings illustrate the long-lasting and in part sex-dependent effects of PTB on the hypothalamic-pituitary-adrenal (HPA) axis, internalizing behavior and memory. The findings are in line with the idea that early adversity alters the set-point of the HPA axis, thereby creating a more vulnerable phenotype.