Sepsis is a syndrome characterized by a dysregulated inflammatory response, cellular stress, and organ injury. Sepsis is the main cause of death in intensive care units worldwide, creating need for research and new therapeutic strategies. Heat shock protein (HSP) analyses have recently been developed in the context of sepsis. HSPs have a cytoprotection role in stress conditions, signal to immune cells, and activate the inflammatory response. Hence, HSP analyses have become an important focus in sepsis research, including the investigation of HSPs targeted by therapeutic agents used in sepsis treatment. Many therapeutic agents have been tested, and their HSP modulation showed promising results. Nonetheless, the heterogeneity in experimental designs and the diversity in therapeutic agents used make it difficult to understand their efficacy in sepsis treatment. Therefore, future investigations should include the analysis of parameters related to the early and late immune response in sepsis, HSP localization (intra or extracellular), and time to the onset of treatment after sepsis. They also should consider the differences in experimental sepsis models. In this review, we present the main results of studies on therapeutic agents in targeting HSPs in sepsis treatment. We also discuss limitations and possibilities for future investigations regarding HSP modulators.