Sepsis is a complex clinical syndrome triggered by an inflammatory host response to an infection. It is usually complicated to detect and diagnose, and has severe consequences in human and veterinary health, especially when treatment is not started early. Therefore, efforts to detect sepsis accurately are needed. In addition, its proper diagnosis could reduce the misuse of antibiotics, which is essential fighting against antimicrobial resistance. This case is a particular issue in farm animals, as antibiotics have been traditionally given massively, but now they are becoming increasingly restricted. When sepsis is suspected in animals, the most frequently used biomarkers are acute phase proteins such as C-reactive protein, serum amyloid A and haptoglobin, but their concentrations can increase in other inflammatory conditions. In human patients, the most promising biomarkers to detect sepsis are currently procalcitonin and presepsin, and there is a wide range of other biomarkers under study. However, there is little information on the application of these biomarkers in veterinary species. This review aims to describe the general concepts of sepsis and the current knowledge about the biomarkers of sepsis in pigs, horses, and cattle and to discuss possible advances in the field.