Sepsis is the primary cause of acute kidney injury in critically ill patients. During the past decades, several extracorporeal blood purification techniques have been developed for sepsis and sepsis-induced acute kidney injury management. These therapies could act on both the infectious agent itself and the host immune response. In this article, we review the available literature discussing the different extracorporeal blood purification techniques, including high-volume hemofiltration, cascade hemofiltration, hemoperfusion, coupled plasma filtration adsorption, plasma exchange, and specific optimized renal replacement therapy membranes.