Sepsis is a life-threatening organ dysfunction caused by the maladjustment of the body's response to infection. Abnormal immune response plays an important role in the progression of sepsis, and immunomodulatory therapy is a promising therapeutic strategy for sepsis. Great efforts have been made recently to elucidate the mechanism by which immune dysfunction contributes to sepsis, and identify potential biomarkers and targets for the diagnosis and therapy of sepsis induced by emerging pathogens, especially for severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) that causes COVID-19. In this review, we summarize recent progress on the understanding of immune dysregulation involved in sepsis, and highlight potential biomarkers and targets to evaluate immune status of the patients with sepsis for individualized and precise immunotherapy.