Sepsis is a multisystem disease characterized by dysregulation of the host immune response to infection. Immune response kinetics play a crucial role in the pathogenesis and progression of sepsis. Macrophages, which are known for their heterogeneity and plasticity, actively participate in the immune response during sepsis. These cells are influenced by the ever-changing immune microenvironment and exhibit two-sided immune regulation. Recently, the immunomodulatory function of mesenchymal stem cells (MSCs) in sepsis has garnered significant attention. The immune microenvironment can profoundly impact MSCs, prompting them to exhibit dual immunomodulatory functions akin to a double-edged sword. This discovery holds great importance for understanding sepsis progression and devising effective treatment strategies. Importantly, there is a close interrelationship between macrophages and MSCs, characterized by the fact that during sepsis, these two cell types interact and cooperate to regulate inflammatory processes. This review summarizes the plasticity of macrophages and MSCs within the immune microenvironment during sepsis, as well as the intricate crosstalk between them. This remains an important concern for the future use of these cells for immunomodulatory treatments in the clinic.