Despite tremendous progress in the therapeutic algorithms of hemodynamically unstable patients, cardiogenic shock remains a clinical challenge with high mortality rate. Conservative management with inotropic agents remains the first-choice treatment, though it has been associated with serious adverse events and is not always adequate. Circulatory support with mechanical devices has been widely implemented in patients with cardiogenic shock during high-risk percutaneous coronary interventions or post-cardiac surgery complications and has been associated with favorable outcomes. In patients with acute decompensated heart failure, ventricular assist devices have been used to prolong the recovery period and reverse the cause of hemodynamic instability. In the present review, we discuss the current evidence on the use of percutaneous assist devices for the treatment of cardiogenic shock, plus we highlight the need for future evolution in this particular field that may permit the optimal choice of each device for different patients or clinical situations.