Sleep is important for the development of preterm infants. During sleep, neural connections are formed and the development of brain regions is triggered. In general, various rudimentary sleep states can be identified in the preterm infant, namely active sleep (AS), quiet sleep (QS) and intermediate sleep (IS). As the infant develops, sleep states change in length and organization, with these changes as important indicators of brain development. As a result, several methods have been deployed to distinguish between the different preterm infant sleep states, among which polysomnography (PSG) is the most frequently used. However, this method is limited by the use of adhesive electrodes or patches that are attached to the body by numerous cables that can disturb sleep. Given the importance of sleep, this review explores more unobtrusive methods that can identify sleep states without disturbing the infant. To this end, after a brief introduction to preterm sleep states, an analysis of the physiological characteristics associated with the different sleep states is provided and various methods of measuring these physiological characteristics are explored. Finally, the advantages and disadvantages of each of these methods are evaluated and recommendations for neonatal sleep monitoring proposed.