Several studies have focused attention on cardio-respiratory function as an important indicator of development in infants. In the preterm infant, however, it remains unclear whether respiratory activity already affects heart beat variations at such an early development stage. In this work we investigate the presence of cardio-respiratory coupling in preterm infants by quantifying the interaction between heart rate variability and respiration using multivariate autoregressive analysis. We evaluated the frequency domain indices using standard methods. Results show a significantly higher coupling, as confirmed by surrogate data analysis, in the frequency range associated with regular breathing compared to other ranges. These observations indicate a mild, but present, respiratory sinus arrhythmia in preterm infants.