Sepsis remains an important challenge in pediatric critical care medicine. This review provides an appraisal of adjunctive therapies for sepsis and highlights opportunities for meeting selected challenges in the field. Future clinical studies should address long-term and functional outcomes as well as acute outcomes. Potential adjunctive therapies such as corticosteroids, hemofiltration, hemoadsorption, and plasmapheresis may have important roles, but still require formal and more rigorous testing by way of clinical trials. Finally, the design of future clinical trials should consider novel approaches for stratifying outcome risks as a means of improving the risk-to-benefit ratio of experimental therapies.