Hypoxia is characterized as one of the main consequences of sepsis, which is recognized as the leading cause of death in intensive care unit (ICU) patients. In this study, we aimed to examine whether the expression levels of genes regulated under hypoxia could be utilized as novel biomarkers for sepsis prognosis in ICU patients. Whole blood expression levels of hypoxia-inducible factor-1α (HIF1A), interferon-stimulated gene 15 (ISG15), hexokinase 2 (HK2), lactate dehydrogenase (LDHA), heme oxygenase-1 (HMOX1), erythropoietin (EPO), and the vascular endothelial growth factor A (VEGFA) were measured on ICU admission in 46 critically ill, initially non-septic patients. The patients were subsequently divided into two groups, based on the development of sepsis and septic shock (n = 25) or lack thereof (n = 21). HMOX1 mRNA expression was increased in patients who developed sepsis/septic shock compared to the non-septic group (p < 0.0001). The ROC curve, multivariate logistic regression, and Kaplan–Meier analysis demonstrated that HMOX1 expression could be utilized for sepsis and septic shock development probability. Overall, our results indicate that HMOX1 mRNA levels have the potential to be a valuable predictive factor for the prognosis of sepsis and septic shock in ICU patients.