Sepsis is one of the pathological conditions with the highest incidence in intensive care units. Sepsis-induced cardiac and autonomic dysfunction are well-known effects, among others, caused by a dysregulated host response to infection. In this context, we investigate the role of complex cardiovascular dynamics quantified through sample entropy indices from the inter-beat interval, systolic and diastolic blood pressure time series as well as the cross-entropy between heartbeat and systolic blood pressure in patients with sepsis in the first hour of intensive care when compared with non-septic subjects. Results show a significant (p<0.05) reduction in the probability of being septic for a unitary increase in entropy for systolic and diastolic time series (odds equal to 0.038 and 0.264, respectively) when adjusting for confounding factors. A significant (p<0.001) odds ratio (0.248) is observed also in cross-entropy, showing a reduced probability of being septic for an increase in heartbeat and systolic pressure asynchrony. The inclusion of our measures of complexity also determines an increase in the predictive ability (+0.03) of a logistic regression model reaching an area under the receiving operating and precision recall curves both equal to 0.95.Clinical relevance The study demonstrates the ability of information theory in catching a reduction of complex cardiovascular dynamics from vital signs commonly recorded in ICU. The considered complexity measures contribute to characterize sepsis development by showing a general loss of the interaction between heartbeat and pressure regulation. The extracted measures also improve the ability to identify sepsis in the first hour of intensive care.