Excessive pro-inflammatory and anti-inflammatory cytokines are mediators for haemodynamic alterations, metabolic acidosis, and multi-organ failure in sepsis. Recently, oXiris® haemofilter (Baxter, IL, USA) has been introduced as a novel haemofilter to mitigate inflammatory response during sepsis-associated acute kidney injury requiring renal replacement therapy. In the present case series, the researchers retrospectively reviewed critically ill patients with septic shock with the use of at least one oXiris haemofilter during continuous renal replacement therapy between June 2015 and December 2017. The timing for oXiris initiation was at the nephrologists’ discretion. The impact of oXiris haemofilter was evaluated on mean arterial pressure, vasopressor dosage, Sequential Organ Failure Assessment score, lactate and base excess during 72 h after treatment. Thirty-five patients were enrolled in the study. An improvement of haemodynamic status was found, shown by increased mean arterial pressure by 6.1% ( p = 0.35), decreased norepinephrine dose by 45.9% ( p = 0.02), inotropic score by 26.4% ( p = 0.02) and vasopressor dependency index by 40.5% ( p = 0.01). Cardiovascular Sequential Organ Failure Assessment scores significantly decreased over 72 h ( p = 0.02). Blood lactate levels and base excess also showed statistically significant improvements. The median filter lifetime was 23 (interquartile range = 14–36) hours. The intensive care unit mortality was 82.9%. Treatment with oXiris was safe and well-tolerated with no device-related adverse events. In conclusion, continuous renal replacement therapy with oXiris haemofilter is safe and may improve haemodynamic parameters in septic patients with severe renal dysfunction. Nonetheless, these findings were drawn from a retrospective analysis without a control group, and therefore cannot be generalised. Randomised controlled trials are warranted to confirm these findings.