Sepsis is defined as a life-threatening organ dysfunction caused by a dysregulated host response to an infection; it carries a risk for mortality, considerably exceeding that of a mere infection. Sepsis is the leading cause for acute kidney injury (AKI) and the requirement for renal replacement therapy (RRT) in intensive care unit (ICU) patients. Almost every second critically ill patient with sepsis will develop AKI. In septic shock, the dysregulated host response to infectious pathogens leads to a cytokine storm with uncontrolled production and release of humoral proinflammatory mediators that evoke cellular toxicity and promote the development of organ dysfunction and increased mortality. In addition to treating AKI, RRT techniques can be employed for extracorporeal adsorption of inflammatory mediators using specifically developed adsorption membranes, hemoperfusion sorbent cartridges or columns; these techniques are intended to decrease the level and early deleterious effects of circulating proinflammatory cytokines and endotoxins during the first hours and days of septic shock treatment, in order to improve patient outcomes. Several methods and devices, such as high cut-off membranes, the Oxiris®-AN69 membrane, CytoSorb® and HA380 cytokine hemoadsorption, polymyxin B endotoxin adsorption, and plasmapheresis have been examined in small study series or are under evaluation as ways of improving patient outcomes in septic shock. However, to date, the data on actual outcome benefits have remained controversial, as discussed in this review.