Maternal and newborn care has been a primary focus of performance-based financing (PBF) projects, which have been piloted or implemented in 21 countries in Sub-Saharan Africa since 2007. Several evaluations of PBF have demonstrated improvements to facility delivery or quality of care. However, no studies have measured the impact of PBF programs directly on neonatal health outcomes in Africa, nor compared PBF programs against another. We assess the impact of PBF on early neonatal health outcomes and associated health care utilization and quality in Burundi, Lesotho, Senegal, Zambia and Zimbabwe. We pooled Demographic and Health Surveys and Multiple Indicator Cluster Surveys and apply difference-in-differences analysis to estimate the effect of PBF projects supported by the World Bank on early neonatal mortality and low birthweight. We also assessed the effect of PBF on intermediate outputs that are frequently explicitly incentivized in PBF projects, including facility delivery and antenatal care utilization and quality, and cesarean section. Finally, we examined the impact among births to poor or high-risk women. We found no statistically significant impact of PBF on neonatal health outcomes, health care utilization or quality in a pooled sample. PBF was also not associated with better health outcomes in each country individually, though in some countries PBF improved facility delivery, antenatal care utilization, or antenatal care quality. There was also no improvement on any outcome among poor or high-risk women in the five countries. PBF had no impact on early neonatal health outcomes in the five African countries studied and had limited and variable effects on the utilization and quality of neonatal health care. These findings suggest that there is a need for both a deeper assessment of PBF and for other strategies to make meaningful improvements to neonatal health outcomes.