Septic shock is a systemic inflammatory response syndrome associated with circulatory failure leading to organ failure with a 40% mortality rate. Early diagnosis and prognosis of septic shock are necessary for specific and timely treatment. However, no predictive biomarker is available. In recent years, improvements in proteomics-based mass spectrometry have improved the detection of such biomarkers. This approach can be performed on different samples such as tissue or biological fluids. Working directly from human samples is complicated owing to interindividual variability. Indeed, patients are admitted at different stages of disease development and with signs of varying severity from one patient to another. All of these elements interfere with the identification of early, sensitive, and specific septic shock biomarkers. For these reasons, animal models of sepsis, although imperfect, are used to control the kinetics of the development of the pathology and to standardise experimentation, facilitating the identification of potential biomarkers. These elements underline the importance of the choice of animal model used and the sample to be studied during preclinical studies. The aim of this review is to discuss the relevance of different approaches to enable the identification of biomarkers that could indirectly be relevant to the clinical setting.