Hypoxic-ischemic encephalopathy (HIE) is one of the leading causes of morbidity and mortality in neonates. Because of high concentrations of sensitive immature cells, metal-catalyzed free radicals, non-saturated fatty acids, and low concentrations of antioxidant enzymes, the brain requires high levels of oxygen supply and is, thus, extremely sensitive to hypoxia. Strong evidence indicates that oxidative stress plays an important role in pathogenesis and progression. Following hypoxia and ischemia, reactive oxygen species (ROS) production rapidly increases and overwhelms antioxidant defenses. A large excess of ROS will directly modify or degenerate cellular macromolecules, such as membranes, proteins, lipids, and DNA, and lead to a cascading inflammatory response, and protease secretion. These derivatives are involved in a complex interplay of multiple pathways (e.g., inflammation, apoptosis, autophagy, and necrosis) which finally lead to brain injury. In this review, we highlight the molecular mechanism for oxidative stress in HIE, summarize current research on therapeutic strategies utilized in combating oxidative stress, and try to explore novel potential clinical approaches.