Antimicrobial peptides (AMPs) are nowadays understood as broad multifunctional tools of the innate immune system to fight microbial infections. In addition to its direct antimicrobial action, AMPs can modulate the host immune response by promoting or restraining the recruitment of cells and chemicals to the infection focus. Binding of AMPs to lipopolysaccharide is a critical step for both their antimicrobial action and their immunomodulatory properties. On the one hand, removal of Gram-negative bacteria by AMPs can be an effective strategy to prevent a worsened inflammatory response that may lead to septic shock. On the other hand, by neutralizing circulating endotoxins, AMPs can successfully reduce nitric oxide and tumor necrosis factor-α production, hence preventing severe tissue damage. Furthermore, AMPs can also interfere with the Toll-like receptor 4 recognition system, suppressing cytokine production and contributing to modulate the inflammatory response. Here, we review the immune system strategies devised by AMPs to avoid an exacerbated inflammatory response and thus prevent a fatal end to the host.