This study reviews the role of continuous renal replacement therapy (CRRT) in sepsis with acute kidney injury (AKI) and septic shock with multiple organ failure. In addition to the conventional aim of replacing renal function in AKI, CRRT is often used with the concept of modulating immune response in sepsis. With the intention of influencing circulating levels of inflammatory mediators like cytokines and chemokines, the complement system, as well as factors of the coagulation system, several modifications of CRRT have been developed over the last years. These include high volume hemofiltration, high adsorption hemofiltration, use of high cut-off membranes, and hybrid systems like coupled plasma filtration absorbance. One of the most promising concepts may be the development of renal assist devices using renal tubular cells for implementing renal tubular function into CRRT.