Patients with serious thermal burn injuries require immediate and specialized care in order to minimize morbidity and mortality. Optimal fluid resuscitation, nutritional support, pulmonary care, burn wound care, and infection control practices represent key aspects of patient care in burn centers. When severely burned, the patient usually presents a systemic inflammatory response syndrome, soon balanced by a counter anti-inflammatory response syndrome. These may lead to immune dysregulation/exhaustion favoring infectious complications that dramatically impair the prognosis of burn patients. This narrative review provides an overview of the main concepts, current understanding, and potential applications of extracorporeal blood purification techniques for burn patient management. Current understanding of burn patients' immune responses is reported. Hypotheses and data on the potential value of immunoregulation are reviewed. Finally, how extracorporeal blood purification may be of interest in this specific population is discussed.