As highlighted by the last international consensus definition for sepsis and septic shock (sepsis-3), sepsis comes from a complex relationship between a pathogen and a dysregulated host response. To date, the treatment of sepsis is based on antimicrobial treatment, source control, and organ support. Extracorporeal blood purification therapies have been proposed as adjuvant therapies to modulate the dysregulated inflammatory response. These therapies aim mostly at removing inflammatory mediators (cytokines) and endotoxins from the blood. However, so far, they failed to clearly demonstrate an improvement in patient survival when evaluated in randomized trials. Recently, new devices directly targeting the primary determinants of sepsis, e.g., the pathogen itself and the host immune cells, have been developed. This short review aimed at presenting new blood purification devices that have recently been developed to target pathogens and immune cells. For each, we will present the mechanism of action of the therapy and discuss the related literature.