Sepsis is one of the leading causes of mortality and morbidity, even with the current availability of extended-spectrum antibiotics and advanced medical care. Biomarkers offer a tool in facilitating early diagnosis, in identifying patient populations at high risk of complications, and in monitoring progression of the disease, which are critical assessments for appropriate therapy and improvement in patient outcomes. Several biomarkers are already available for clinical use in sepsis; however, their effectiveness in many instances is limited by the lack of specificity and sensitivity to characterize the presence of an infection and the complexity of the inflammatory and immune processes and to stratify patients into homogenous groups for specific treatments. Current advances in molecular techniques have provided new tools facilitating the discovery of novel biomarkers, which can vary from metabolites and chemical products present in body fluids to genes and proteins in circulating blood cells. The purpose of this review was to examine the current status of sepsis biomarkers, with special emphasis on emerging markers, which are undergoing validation and may transition into clinical practice for their informative value in diagnosis, prognosis, or response to therapy. We will also discuss the new concept of combination biomarkers and biomarker risk models, their existing challenges, and their potential use in the daily management of patients with sepsis.