Neonatal sepsis remains a leading cause of morbidity and mortality worldwide. It is widely considered that exchange transfusion (ET) as an adjunctive treatment for neonatal sepsis has the ability to reduce mortality. This review summarizes the current knowledge regarding the efficacy of ET for neonatal sepsis. In neonatal sepsis, immune responses such as proinflammatory and anti-inflammatory cytokines play an important role in pathogenesis and can lead to septic shock, multiple organ failure, and death. Between the 1970s and 1990s several authors reported that ET was effective in the treatment of neonatal sepsis with sclerema. ET removes bacterial toxins and inflammatory cytokines from the blood by replacing it with fresh and immunologically abundant blood, thereby leading to improvement in tissue perfusion and oxygenation. Moreover, ET with fresh whole blood increases neutrophil count and immunoglobulin levels as well as enhancing neutrophil function. However, there is a lack of clear evidence for the clinical efficacy of ET. In addition, adverse events associated with ET have been reported. Although most complications are transient, ET can lead to life-threatening complications. Therefore, ET can be considered a last resort treatment to rescue neonates with severe sepsis with sclerema and disseminated intravascular coagulation.