Young people who are neither in employment nor in education or training (NEET) are at risk of long-term exclusion and poorer wellbeing. Besides individual costs and adverse later life consequences, NEET can impose significant societal costs, making it a major public policy concern and an important indicator of social exclusion. Using high-quality register data on Finnish birth cohorts born between 1987 and 1992, we compared the risk of being NEET at ages 21–27 amongst those born with very low birth weight (VLBW, < 1500 g), low birth weight (LBW, 1500–2499 g) and normal birth weight (NBW). We further studied whether the effects of birth weight on NEET were moderated by parental socioeconomic status (SES), measured as maternal education. To address potential confounding due to unobserved characteristics, we employed Poisson regression with sibling fixed effects. Results indicated that LBW was associated with an increased incidence rate ratio (IRR) of 1.26 (95% CI 1.15–1.38) and VLBW with an IRR of 2.02 (95% CI 1.66–2.40) for NEET status, compared with NBW. The relationship between birth weight and NEET did not vary by parental SES. Findings underline the importance of early health in contributing to the risk of NEET, regardless of parental SES.