Critically ill patients frequently develop anemia due to several factors. Iron-withholding mechanisms caused by inflammation contribute to this anemia. The iron metabolism imbalances described or reported in all intensive care studies are similar to the values observed in anemia of inflammation. The administration of iron could be useful in the optimization of recombinant human erythropoietin activity, but this could be at the expense of bacterial proliferation. Since there is a lack of evidence to support either oral or intravenous iron administration in intensive care patients, further studies are necessary to determine the efficacy and safety of iron supplementation in conjunction with recombinant human erythropoietin in critically ill patients. We review the mechanisms leading to iron sequestration in the presence of inflammation. The present article also reviews the literature describing the iron status in critically ill patients and explores the role of iron supplementation in this setting.