Sepsis is a life-threatening organ dysfunction caused by a dysregulated host response to infection, leaving the inflammation process without a proper resolution, leading to tissue damage and possibly sequelae. The central nervous system (CNS) is one of the first regions affected by the peripheral inflammation caused by sepsis, exposing the neurons to an environment of oxidative stress, triggering neuronal dysfunction and apoptosis. Sepsis-associated encephalopathy (SAE) is the most frequent sepsis-associated organ dysfunction, with symptoms such as deliriums, seizures, and coma, linked to increased mortality, morbidity, and cognitive disability. However, the current therapy does not avoid those patients’ symptoms, evidencing the search for a more optimal approach. Herein we focus on microglia as a prominent therapeutic target due to its multiple functions maintaining CNS homeostasis and its polarizing capabilities, stimulating and resolving neuroinflammation depending on the stimuli. Microglia polarization is a target of multiple studies involving nerve cell preservation in diseases caused or aggravated by neuroinflammation, but in sepsis, its therapeutic potential is overlooked. We highlight the peroxisome proliferator-activated receptor gamma (PPARγ) neuroprotective properties, its role in microglia polarization and inflammation resolution, and the interaction with nuclear factor-κB (NF-κB) and mitogen-activated kinases (MAPK), making PPARγ a molecular target for sepsis-related studies to come.