Sepsis, a potentially lethal condition resulting from failure to control the initial infection, is associated with a dysregulated host defense response to pathogens and their toxins. Sepsis remains a leading cause of morbidity, mortality and disability worldwide. The pathophysiology of sepsis is very complicated and is not yet fully understood. Worse still, the development of effective therapeutic agents is still an unmet need and a great challenge. Gases, including nitric oxide (NO), carbon monoxide (CO) and hydrogen sulfide (H2S), are small-molecule biological mediators that are endogenously produced, mainly by enzyme-catalyzed reactions. Accumulating evidence suggests that these gaseous mediators are widely involved in the pathophysiology of sepsis. Many sepsis-associated alterations, such as the elimination of invasive pathogens, the resolution of disorganized inflammation and the preservation of the function of multiple organs and systems, are shaped by them. Increasing attention has been paid to developing therapeutic approaches targeting these molecules for sepsis/septic shock, taking advantage of the multiple actions played by NO, CO and H2S. Several preliminary studies have identified promising therapeutic strategies for gaseous-mediator-based treatments for sepsis. In this review article, we summarize the state-of-the-art knowledge on the pathophysiology of sepsis; the metabolism and physiological function of NO, CO and H2S; the crosstalk among these gaseous mediators; and their crucial effects on the development and progression of sepsis. In addition, we also briefly discuss the prospect of developing therapeutic interventions targeting these gaseous mediators for sepsis.