Sepsis is characterized by a dysregulated immune response to infections that causes life-threatening organ dysfunction and even death. When infections occur, bacterial cell wall components (endotoxin or lipopolysaccharide), known as pathogen-associated molecular patterns, bind to pattern recognition receptors, such as toll-like receptors, to initiate an inflammatory response for pathogen elimination. However, strong activation of the immune system leads to cellular dysfunction and ultimately organ failure. Damage-associated molecular patterns (DAMPs), which are released by injured host cells, are well-recognized triggers that result in the elevation of inflammatory cytokine levels. A cytokine storm is thus amplified and sustained in this vicious cycle. Interestingly, during sepsis, neutrophils transition from powerful antimicrobial protectors into dangerous mediators of tissue injury and organ dysfunction. Thus, the concept of blood purification has evolved to include inflammatory cells and mediators. In this review, we summarize recent advances in knowledge regarding the role of lipopolysaccharides, cytokines, DAMPs, and neutrophils in the pathogenesis of sepsis. Additionally, we discuss the potential of blood purification, especially the adsorption technology, for removing immune cells and molecular mediators, thereby serving as a therapeutic strategy against sepsis. Finally, we describe the concept of our immune-modulating blood purification system.