Sepsis remains the leading cause of death in the ICU. Considering the key role of the immune system in sepsis, immunomodulation represents an attractive target for adjunctive therapy. Until recently, clinical trials focused on suppression of the immune system, but this approach failed to improve sepsis outcome. Recent advances in the understanding of sepsis have led to the view that not the initial hyperinflammatory state, but rather a profoundly suppressed state of the immune system, called sepsis-induced immunoparalysis, accounts for the majority of sepsis-related deaths. Immunoparalysis results in ineffective clearance of septic foci, and renders the septic patient more vulnerable to secondary infections, as well as reactivation of latent infections. Several mechanisms behind immunoparalysis have been recognised. Furthermore, due to recognition of the importance of immunoparalysis, immunostimulatory treatment is emerging as a possible adjunctive treatment for sepsis. As such, identification of patients suffering from immunoparalysis using biomarkers is of utmost importance to guide immunostimulatory treatment. In this review, an short overview of the concept of immunoparalysis is presented, while the main focus is on potential biological markers of immunoparalysis and promising immunostimulatory therapeutic agents. The challenging heterogeneity of septic patients in respect to immunomodulatory advances will be discussed, and recommendations for future research are provided.