Sepsis is at present one of the leading causes of morbidity and mortality in the neonatal population. Together with inflammation, oxidative stress is involved in detrimental pathways activated during neonatal sepsis, eventually leading to organ dysfunction and death. The redox cascade during sepsis is mainly initiated by IL-6 and IL-8 stimulation in newborns and includes multiple noxious processes, as direct cell damage induced by reactive oxygen species, activation of gene expression leading to amplification of inflammation and oxidative stress, and impairment of mitochondrial function. Once proinflammatory and prooxidant pathways are established as stimulated by causing pathogens, self-maintaining unfavorable redox cycles ensue, leading to oxidative stress-related cellular damage, independently from the activating pathogens themselves. Despite antioxidant systems are induced during neonatal sepsis, as an adaptive response to an increased oxidative burden, a condition of redox imbalance favoring oxidative pathways occurs, resulting in increased markers of oxidative stress damage. Therefore, antioxidant treatment would exert beneficial effects during neonatal sepsis, potentially interrupting prooxidant pathways and preventing the maintenance of detrimental redox cycles that cannot be directly affected by antibiotic treatment. Among others, antioxidant agents investigated in clinical settings as adjunct treatment for neonatal sepsis include melatonin and pentoxifylline, both showing promising results, while novel antioxidant molecules, as edaravone and endothelin receptor antagonists, are at present under investigation in animal models. Finally, mitochondria-targeted antioxidant treatments could represent an interesting line of research in the treatment of neonatal sepsis.