Sepsis is a serious organ dysfunction caused by a dysregulated immune host reaction to a pathogen. The innate immunity is programmed to react immediately to conserved molecules, released by the pathogens (PAMPs), and the host (DAMPs). We aimed to review the molecular mechanisms of the early phases of sepsis, focusing on PAMPs, DAMPs, and their related pathways, to identify potential biomarkers. We included studies published in English and searched on PubMed® and Cochrane®. After a detailed discussion on the actual knowledge of PAMPs/DAMPs, we analyzed their role in the different organs affected by sepsis, trying to elucidate the molecular basis of some of the most-used prognostic scores for sepsis. Furthermore, we described a chronological trend for the release of PAMPs/DAMPs that may be useful to identify different subsets of septic patients, who may benefit from targeted therapies. These findings are preliminary since these pathways seem to be strongly influenced by the peculiar characteristics of different pathogens and host features. Due to these reasons, while initial findings are promising, additional studies are necessary to clarify the potential involvement of these molecular patterns in the natural evolution of sepsis and to facilitate their transition into the clinical setting.