Sepsis and septic shock are among the leading causes of death in intensive care units worldwide. Numerous studies on their pathophysiology have revealed an imbalance in the inflammatory network leading to tissue damage, organ failure, and ultimately, death. Cytokines are important pleiotropic regulators of the immune response, which have a crucial role in the complex pathophysiology underlying sepsis. They have both pro- and anti-inflammatory functions and are capable of coordinating effective defense mechanisms against invading pathogens. On the other hand, cytokines may dysregulate the immune response and promote tissue-damaging inflammation. In this review, we address the current knowledge of the actions of pro- and anti-inflammatory cytokines in sepsis pathophysiology as well as how these cytokines and other important immunomodulating agents may be therapeutically targeted to improve the clinical outcome of sepsis.