Oligosaccharides support gut development and bacterial colonization in term infants, but it is unknown if they benefit preterm infants. Using preterm pigs, we investigated effects of bovine milk supplements enriched with oligosaccharides to improve gut development and colonization. Caesarean-delivered preterm pigs (n = 57) were reared for 19 days. The pigs were fed bovine milk supplemented with an oligosaccharide-enriched whey containing sialyllactose, or a heterogeneous oligosaccharide ingredient. To evaluate the influence of artificial rearing, near-term, vaginally born pigs raised by their sow (n = 12) were compared with artificially reared, caesarean-delivered near-term pigs (n = 14). In preterm pigs, the clinical outcome, gut function, gut microbiota, and systemic immunity were similar among dietary treatments. Natural rearing increased growth rates, gut functions, colon short chain fatty acid concentrations and bacterial diversity, relative to artificial rearing. In conclusion, supplements with bovine milk oligosaccharides were well tolerated, but did not improve gut maturation or clinical outcomes in artificially reared preterm piglets. Immaturity at birth, coupled with artificial rearing, may render the neonate unresponsive to the gut-protective effects of milk oligosaccharides. Whether bovine milk oligosaccharides may affect other endpoints (e.g., brain functions) in conditions of immaturity remains to be investigated.