This study in preterm infants was designed to characterize the prognostic potential of several features of heart rate variability (HRV), respiration, and (infant) motion for the predictive monitoring of late-onset sepsis (LOS). In a neonatal intensive care setting, the cardiorespiratory waveforms of infants with blood-culture positive LOS were analyzed to characterize the prognostic potential of 22 features for discriminating control from sepsis-state, using the Naive Bayes algorithm. Historical data of the subjects acquired from a period sufficiently before the clinical suspicion of LOS was used as control state, whereas data from the 24 h preceding the clinical suspicion of LOS were used as sepsis state (test data). The overall prognostic potential of all features was quantified at three-hourly intervals for the period corresponding to test data by calculating the area under the receiver operating characteristics curve. For the 49 infants studied, features of HRV, respiration, and movement showed characteristic changes in the hours leading up to the clinical suspicion of sepsis, namely, an increased propensity toward pathological heart rate decelerations, increased respiratory instability, and a decrease in spontaneous infant activity, i.e., lethargy. While features characterizing HRV and respiration can be used to probe the state of the autonomic nervous system, those characterizing movement probe the state of the motor system-dysregulation of both reflects an increased likelihood of sepsis. By using readily interpretable features derived from cardiorespiratory monitoring, opportunities for pre-emptively identifying and treating LOS can be developed.