The clinical syndromes known as sepsis and septic shock are a frequent cause of morbidity and mortality in intensive care units. Acute kidney injury (AKI) according to the modern RIFLE criteria complicates sepsis and increases the mortality; it often requires the implementation of methods for extracorporeal blood purification and patient support. During sepsis AKI is an independent risk factor for mortality and increases the complexity and cost of patient care. Among the treatments for AKI, hemofiltration and its pulse high-volume variant are able to support all organs and boost an immune system compromised by systemic inflammation. Thanks to modern technology, they can also apply adsorption in order to remove complex molecules such as LPS from the bloodstream during sepsis due to gram-negative bacteria, preventing endothelial damage that can result in multiorgan dysfunction and failure. These treatments can be combined to obtain other treatments to remove more specifically inflammatory molecules such as during convection combined with plasma adsorption in CPFA. Moreover, the use of high-cutoff membranes allows the implementation of methods able to remove high-molecular-weight mediators of inflammation by diffusion. Given the wide range of available treatments, there is ongoing discussion about the timing, dose and efficacy of each, and more studies are necessary to clarify their role in the management of AKI during sepsis.