A cross-sectional single-center study was designed to compare the fatty acids profile, particularly docosahexaenoic acid (DHA) levels, between milk banking samples of donor human milk and mother’s own milk (MOM) for feeding preterm infants born before 32 weeks’ gestation. MOM samples from 118 mothers included colostrum (1–7 days after delivery), transitional milk (9–14 days), and mature milk (15–28 days and ≥29 days). In the n-3 polyunsaturated fatty acids (PUFAs) group, the levels of α-linolenic acid (C18:3 n3) and DHA (C22:6 n3) showed opposite trends, whereas α-linolenic acid was higher in donor human milk as compared with MOM, with increasing levels as stages of lactation progressed, DHA levels were significantly lower in donor human milk than in MOM samples, which, in turn, showed decreasing levels along stages of lactation. DHA levels in donor human milk were 53% lower than in colostrum. Therefore, in preterm infants born before 32 weeks’ gestation, the use of pasteurized donor human milk as exclusive feeding or combined with breastfeeding provides an inadequate supply of DHA. Nursing mothers should increase DHA intake through fish consumption or nutritional supplements with high-dose DHA while breastfeeding. Milk banking fortified with DHA would guarantee adequate DHA levels in donor human milk.