Sepsis is associated with dysregulated cortisol secretion, leading to abnormal levels of cortisol in the blood. In the early stages of the condition, cortisol levels are typically elevated due to increased secretion from the adrenal glands. However, as the disease progresses, cortisol levels may decline due to impaired adrenal function, leading to relative adrenal insufficiency. The latter is thought to be caused by a combination of factors, including impaired adrenal function, decreased production of corticotropin-releasing hormone (CRH) and adrenocorticotropic hormone (ACTH) by the hypothalamus and pituitary gland, and increased breakdown of cortisol. The dysregulation of cortisol secretion in sepsis is thought to contribute to the pathophysiology of the disease by impairing the body’s ability to mount an appropriate inflammatory response. Given the dysregulation of cortisol secretion and corticosteroid receptors in sepsis, there has been considerable interest in the use of steroids as a treatment. However, clinical trials have yielded mixed results and corticosteroid use in sepsis remains controversial. In this review, we will discuss the changes in cortisol secretion and corticosteroid receptors in critically ill patients with sepsis/septic shock. We will also make special note of COVID-19 patients, who presented a recent challenge for ICU management, and explore the scope for corticosteroid administration in both COVID-19 and non-COVID-19 septic patients.