Rhythm is a fundamental component of the auditory world, present even during the prenatal life. While there is evidence that some auditory capacities are already present before birth, whether and how the premature neural networks process auditory rhythm is yet not known. We investigated the neural response of premature neonates at 30-34 weeks gestational age to violations from rhythmic regularities in an auditory sequence using high-resolution electroencephalography and event-related potentials. Unpredicted rhythm violations elicited a fronto-central mismatch response, indicating that the premature neonates detected the rhythmic regularities. Next, we examined the cortical effective connectivity underlying the elicited mismatch response using dynamic causal modeling. We examined the connectivity between cortical sources using a set of 16 generative models that embedded alternate hypotheses about the role of the frontal cortex as well as backward fronto-temporal connection. Our results demonstrated that the processing of rhythm violations was not limited to the primary auditory areas, and as in the case of adults, encompassed a hierarchy of temporo-frontal cortical structures. The result also emphasized the importance of top-down (backward) projections from the frontal cortex in explaining the mismatch response. Our findings demonstrate a sophisticated cortical structure underlying predictive rhythm processing at the onset of the thalamocortical and cortico-cortical circuits, two months before term.