Brain scans show EPO - used illegally by athletes to boost performance - may help infants when given after birth.
The study, published in the Journal of the American Medical Association, involved almost 500 babies born between 26 and 31 weeks in Switzerland.
The researchers are calling for wider trials of the hormone, which is already given to some babies to treat anaemia.
Erythropoietin is a hormone that stimulates production of red blood cells.
Synthetic EPO is used to treat conditions such as anaemia, where there are fewer red blood cells than normal.
It may also be given to premature babies to reduce the need for blood transfusions.
In the Swiss study, a team at the University Hospital of Geneva found that premature infants had a reduced risk of brain injury, as assessed by brain scans,  when given three doses of EPO shortly after birth.
Babies given EPO had lower rates of injury to both the brain's white matter (22% compared with 36% in the control group) and the grey matter (7% versus 19%).
"We found that the brains of the children who had received the treatment had much less damage than those in the control group, who had been given a placebo," said Dr Russia Ha-Vinh Leuchter, co-researcher of the study.
"This is the first time that the beneficial effect of the EPO hormone on the brains of premature babies has been shown."
The researchers are calling for wider clinical trials of EPO to see if it may help protect the brains of premature babies in the critical weeks after birth.
Dr Jane Hawdon, a consultant neonatologist at Barts Health NHS Trust, who was not involved with the study, said any treatment that may reduce long term problems in preterm babies warranted further review.
"We should note that the authors are not recommending immediate inclusion of this treatment into routine practice," she said.
"It is also important to note that the majority of preterm babies do not sustain significant brain injury."
The hormone erythropoietin (EPO) could prevent brain injuries in very premature babies, a study suggests.