Sepsis is a life-threatening condition with high mortality rates due to delayed treatment of patients. The conventional methodology for blood diagnosis takes several hours, which suspends treatment, limits early drug administration, and affects the patient’s recovery. Thus, rapid, accurate, bedside (onsite), economical, and reliable sepsis biomarker reading of the clinical sample is an emergent need for patient lifesaving. Electrochemical label-free biosensors are specific and rapid devices that are able to perform analysis at the patient’s bedside; thus, they are considered an attractive methodology in a clinical setting. To reveal their full diagnostic potential, electrode architecture strategies of fabrication are highly desirable, particularly those able to preserve specific antibody–antigen attraction, restrict non-specific adsorption, and exhibit high sensitivity with a low detection limit for a target biomarker. The aim of this review is to provide state-of-the-art methodologies allowing the fabrication of ultrasensitive and highly selective electrochemical sensors for sepsis biomarkers. This review focuses on different methods of label-free biomarker sensors and discusses their advantages and disadvantages. Then, it highlights effective ways of avoiding false results and the role of molecular labels and functionalization. Recent literature on electrode materials and antibody grafting strategies is discussed, and the most efficient methodology for overcoming the non-specific attraction issues is listed. Finally, we discuss the existing electrode architecture for specific biomarker readers and promising tactics for achieving quick and low detection limits for sepsis biomarkers.