Background: Sepsis frequently occurs after major trauma and is closely associated with dysregulations in the inflammatory/complement and coagulation system. Thrombin-activatable fibrinolysis inhibitor (TAFI) plays a dual role as an anti-fibrinolytic and anti-inflammatory factor by downregulating complement anaphylatoxin C5a. The purpose of this study was to investigate the association between TAFI and C5a levels and the development of post-traumatic sepsis. Furthermore, the predictive potential of both TAFI and C5a to indicate sepsis occurrence in polytraumatized patients was assessed. Methods: Upon admission to the emergency department (ED) and daily for the subsequent ten days, circulating levels of TAFI and C5a were determined in 48 severely injured trauma patients (injury severity score (ISS) ≥ 16). Frequency matching according to the ISS in septic vs. non-septic patients was performed. Trauma and physiologic characteristics, as well as outcomes, were assessed. Statistical correlation analyses and cut-off values for predicting sepsis were calculated. Results: Fourteen patients developed sepsis, while 34 patients did not show any signs of sepsis (no sepsis). Overall injury severity, as well as demographic parameters, were comparable between both groups (ISS: 25.78 ± 2.36 no sepsis vs. 23.46 ± 2.79 sepsis). Septic patients had significantly increased C5a levels (21.62 ± 3.14 vs. 13.40 ± 1.29 ng/mL; p < 0.05) and reduced TAFI levels upon admission to the ED (40,951 ± 5637 vs. 61,865 ± 4370 ng/mL; p < 0.05) compared to the no sepsis group. Negative correlations between TAFI and C5a (p = 0.0104) and TAFI and lactate (p = 0.0423) and positive correlations between C5a and lactate (p = 0.0173), as well as C5a and the respiratory rate (p = 0.0266), were found. In addition, correlation analyses of both TAFI and C5a with the sequential (sepsis-related) organ failure assessment (SOFA) score have confirmed their potential as early sepsis biomarkers. Cut-off values for predicting sepsis were 54,857 ng/mL for TAFI with an area under the curve (AUC) of 0.7550 (p = 0.032) and 17 ng/mL for C5a with an AUC of 0.7286 (p = 0.034). Conclusion: The development of sepsis is associated with early decreased TAFI and increased C5a levels after major trauma. Both elevated C5a and decreased TAFI may serve as promising predictive factors for the development of sepsis after polytrauma.