Sepsis is a life-threatening organ dysfunction, defined by a dysregulated host immune response to infection. During sepsis, the finely tuned system of immunity, inflammation and anti-inflammation is disturbed in a variety of ways. Both pro-inflammatory and anti-inflammatory pathways are upregulated, activation of the coagulation cascade and complement and sepsis-induced lymphopenia occur. Due to the manifold interactions in this network, the use of IgM-enriched intravenous immunoglobulins seems to be a promising therapeutic approach. Unfortunately, there is still a lack of evidence-based data to answer the important questions of appropriate patient populations, optimal timing and dosage of intravenous immunoglobulins. With this review, we aim to provide an overview of the role of immunoglobulins, with emphasis on IgM-enriched formulations, in the therapy of adult patients with sepsis and septic shock.