Hypotension or low blood pressure (BP) is a common problem in preterm neonates and has been associated with adverse short and long-term neurological outcomes. Deciding when and whether to treat hypotension relies on an understanding of the relationship between BP and brain functioning. This study aims to investigate the interaction (coupling) between BP and continuous multichannel unedited EEG recordings in preterm infants less than 32 weeks of gestational age. The EEG was represented by spectral power in four frequency sub-bands: 0.3 +/- 3 Hz, 3 +/- 8 Hz, 8 +/- 15 Hz and 15 +/- 30 Hz. BP was represented as mean arterial pressure (MAP). The level of coupling between the two physiological systems was estimated using linear and nonlinear methods such as correlation, coherence and mutual information. Causality of interaction was measured using transfer entropy. The illness severity was represented by the clinical risk index for babies (CRIB II score) and contrasted to the computed level of interaction. It is shown here that correlation and coherence, which are linear measures of the coupling between EEG and MAP, do not correlate with CRIB values, whereas adjusted mutual information, a nonlinear measure, is associated with CRIB scores (r = -0.57, p = 0.003). Mutual information is independent of the absolute values of MAP and EEG powers and quantifies the level of coupling between the short-term dynamics in both signals. The analysis indicated that the dominant causality is from changes in EEG producing changes in MAP. Transfer entropy (EEG to MAP) is associated with the CRIB score (0.3 +/- 3 Hz: r = 0.428, p = 0.033, 3 +/- 8 Hz: r = 0.44, p = 0.028, 8 +/- 15 Hz: r = 0.416, p = 0.038) and indicates that a higher level of directed coupling from brain activity to blood pressure is associated with increased illness in preterm infants. This is the first study to present the nonlinear measure of interaction between brain activity and blood pressure and to demonstrate its relation to the initial illness severity in the preterm infant. The obtained results allow us to hypothesise that the normal wellbeing of a preterm neonate can be characterised by a nonlinear coupling between brain activity and MAP, whereas the presence of weak coupling with distinctive directionality of information flow is associated with an increased mortality rate in preterms.