Background: The treatment effect of occlusive wrap applied immediately after delivery in infants born 24–28 weeks’ gestation has been studied, but the effect is not known in infants born at less than 240/7 weeks’ gestation. Objectives: To determine if the use of occlusive wrap applied immediately after birth in infants born at less than 240/7 weeks’ gestation results in any differences in outcomes when compared to non-wrapped infants. Methods: Parallel exploratory randomized controlled trial with a convenience sample of 28 inborn infants born at less than 240/7 weeks’ gestation enrolled during the duration of the HeLP trial. Infants were randomized to either the wrap or standard of care (no wrap) group. Results: Twenty-eight infants (wrap n = 14; no wrap n = 14) were randomized and data on all infants was available for intention-to-treat analysis. There were no differences in baseline population characteristics. There was no statistically significant difference in mortality (n = 8/14 wrap, 8/14 no wrap). There was no statistically significant difference in baseline temperature (35.9°C, SD = 1.12, wrap vs. 35.1°C, SD = 1.16, no wrap, p = 0.16) or post-stabilization temperature (36.4°C, SD = 0.84, wrap vs. 36.1°C, SD = 1.2, no wrap, p = 0.56). There was a trend towards increased baseline temperature in the wrap group. Conclusion: Application of occlusive wrap to infants born at less than 240/7 weeks’ gestation immediately after birth did not reduce mortality or effect baseline or post-stabilization temperature in this small exploratory study. This small sample provides the first estimate of treatment effect for this high-risk population.