Background and Objectives: Due to the poor prognosis and the very high mortality rate associated with severe SARS-CoV-2 infections, various regimens have been tried to stop the evolution of the inflammatory cascade, such as immunomodulatory therapy and plasma clearance of the acute phase reactants involved. Therefore, the objective of this review was to analyze the effects of using therapeutic plasma exchange (TPE), also known as plasmapheresis, on the inflammatory markers of critically ill COVID-19 patients admitted to the intensive care unit (ICU). Materials and Methods: A thorough scientific database search was performed, and it included a review of articles published on PubMed, Cochrane Database, Scopus, and Web of Science from the beginning of the COVID-19 pandemic in March 2020 until September 2022 that focused on the treatment of SARS-CoV-2 infections using plasma exchange for patients admitted to the ICU. The current study included original articles, reviews, editorials, and short or special communications regarding the topic of interest. Results: A total of 13 articles were selected after satisfying the inclusion criterion of three or more patients enrolled with clinically severe COVID-19 that were eligible for TPE. From the included articles, it was observed that TPE was used as a last-resort salvage therapy that can be regarded as an alternative treatment method when the standard management for these patients fails. TPE significantly decreased the inflammatory status as measured by Interleukin-6 (IL-6), C-reactive protein (CRP), lymphocyte count, and D-dimers, as well as improving the clinical status measured with PaO2/FiO2 and duration of hospitalization. The pooled mortality risk reduction after TPE was 20%. Conclusions: There are sufficient studies and evidence to show that TPE reduces inflammatory mediators and improves coagulation function and the clinical/paraclinical status. Nevertheless, although it was shown that TPE decreases the severe inflammatory status without significant complications, the improvement of survival rate remains unclear.