Immunomodulation has long been an adjunct approach in treating critically ill patients with sepsis, acute respiratory distress syndrome (ARDS), and acute pancreatitis (AP). Hyperactive immune response with immunopathogenesis leads to organ dysfunction and alters the clinical outcomes in critically ill. Though the immune response in the critically ill might have been overlooked, it has gathered greater attention during this novel coronavirus disease 2019 (COVID-19) pandemic. Modulating hyperactive immune response, the cytokine storm, especially with steroids, has shown to improve the outcomes in COVID-19 patients. In this review, we find that immune response pathogenesis in critically ill patients with sepsis, ARDS, and AP is nearly similar. The use of immunomodulators such as steroids, broad-spectrum serine protease inhibitors such as ulinastatin, thymosin alpha, intravenous immunoglobulins, and therapies such as CytoSorb and therapeutic plasma exchange may help in improving the clinical outcomes in these conditions. As the experience of the majority of physicians in using such therapeutics may be limited, we provide our expert comments regarding immunomodulation to optimize outcomes in patients with sepsis/septic shock, ARDS, and AP.