Abstract Background This study aimed to assess the validity of the oxygenation saturation index (OSI) and the ratio of oxygen saturation to the fraction of inspired oxygen (F I O 2 ) (S/F ratio) with percutaneous oxygen saturation (OSI SpO2 and the S p /F ratio) and to evaluate the correlation between these values and the oxygen index (OI). It also determined their cut‐off values for predicting OI in accordance with neonatal hypoxic respiratory failure severity. Methods We reviewed the data of 77 neonates (gestational age 31.7 ± 6.1 weeks; birthweight, 1768 ± 983 g) requiring invasive mechanical ventilation between 2013 and 2020, 1233 arterial blood gas samples in total. We calculated the OI, OSI SpO2 , OSI with arterial oxygen saturation (SaO 2 ) (OSI SaO2 ), S p /F ratio, and the ratio of SaO 2 to F I O 2 (S a /F ratio). Results The regression and Bland–Altman analysis showed good agreement between OSI SpO2 or the S p /F ratio and OSI SaO2 or the S a /F ratio. Although a significant positive correlation was found between OSI SpO2 and OI, OSI SpO2 was overestimated in SpO 2 > 98% with a higher slope of the fitted regression line than that below 98% of SpO 2 . Furthermore, receiver‐operating characteristic curve analysis using only SpO 2 ≤ 98% samples showed that the optimal cut‐off points of OSI SpO2 and the S p /F ratio for predicting OI were: OI 5, 3.0 and 332; OI 10, 5.3 and 231; OI 15, 7.7 and 108; OI 20, 11.0 and 149; and OI 25, 17.1 and 103, respectively. Conclusion The cut‐off OSI SpO2 and S p /F ratio values could allow continuous monitoring for oxygenation changes in neonates with the potential for wider clinical applications.