Preterm birth and Neonatal Intensive Care Unit (NICU) stay are early adverse stressful experiences, which may result in an altered temperamental profile. The serotonin transporter gene (SLC6A4), which has been linked to infant temperament, is susceptible to epigenetic regulation associated with early stressful experience. This study examined a moderation model in which the exposure to NICU‐related stress and SLC6A4 methylation moderated infant temperament at 3 months of age. SLC6A4 methylation at 20 CpG sites was quantified in preterm infants (N = 48) and full‐term infants (N = 30) from Italian middle‐class families. Results suggested that in preterm infants NICU‐related stress might be associated with alterations of serotonergic tone as a consequence of SLC6A4 methylation, which in turn, might associate with temperamental difficulties assessed at 3 months of age.