Sepsis is a life-threatening condition characterized by immune system dysregulation whose pathophysiology still remains incompletely understood. Better outcomes in patients with sepsis have not been reached despite guidelines updates, development of rapid diagnostic tests, and proper hemodynamic and antimicrobial management. Blood cultures are time-consuming and may delay important therapeutic decisions. Nonculture-based techniques overcome some limitations seen with culture-based techniques with early phenotypic identification of resistance remaining as the cornerstone of optimal diagnosis. A new paradigm has started adjusting preemptive therapy for cytomegalovirus (CMV) infection among kidney transplant patients based on monitoring the host immune response. In this review from a PubMed literature search in adults with sepsis or septic shock, we identified newer tests and highlight some advances in monitoring the host immune response for personalized adjunctive therapy. Monitoring the individual host immune response at the bedside is an unmet clinical need to guide immunomodulatory therapy. The coronavirus disease 2019 pandemic has led to a further understanding of the complex immunopathology of sepsis and opened new avenues for mitigating immune dysregulation. In this review, we discuss current evidence regarding the immune response to sepsis along with challenges and directions for future research.