The transition to fatherhood can generate a range of cognitive and emotional experiences. The purpose of this study was to explore the experiences of first-time fathers of late preterm (34 to 36 weeks gestation) infants. The study was part of a larger randomised controlled trial to test a video-modelled play intervention for fathers that was delivered during home visits. At the outcome home visit (8 months corrected age) we used structured interviews with 85 fathers to explore the joys and challenges of fathering a late preterm infant. The interviews were transcribed and analysed using a thematic approach. Three main themes about fathers’ experiences emerged. Fathers believed that spending time with the baby, watching the baby grow and learn, and being recognised by the baby contributed to fathering being the “best job in the world.” Specific concerns about keeping the baby safe, meeting developmental milestones, self-confidence in the fathering role, providing for the family, and balancing home life and work contributed to fathering being the “biggest job ever.” Fathers viewed fatherhood as an opportunity for personal growth and reflected on how their lives had changed since the arrival of their infant. Fathers in both groups liked the convenience of the home visits and the validation of their role as a father. Fathers in the intervention group liked the tailored feedback using the video-modelled play intervention. Health professionals need to consider the cognitive and emotional challenges experienced by fathers in their transition to parenthood and provide supports accordingly.