Sepsis is defined as a potentially fatal organ dysfunction caused by a dysregulated host response to infection. Despite tremendous progress in the medical sciences, sepsis remains one of the leading causes of morbidity and mortality worldwide. The host response to sepsis and septic shock involves changes in the immune, autonomic, and neuroendocrine systems. Regarding neuroendocrine changes, studies show an increase in plasma vasopressin (AVP) concentrations followed by a decline, which may be correlated with septic shock. AVP is a peptide hormone derived from a larger precursor (preprohormone), along with two peptides, neurophysin II and copeptin. AVP is synthesized in the hypothalamus, stored and released from the neurohypophysis into the bloodstream by a wide range of stimuli. The measurement of AVP has limitations due to its plasma instability and short half-life. Copeptin is a more stable peptide than AVP, and its immunoassay is feasible. The blood concentrations of copeptin mirror those of AVP in many physiological states; paradoxically, during sepsis-related organ dysfunction, an uncoupling between copeptin and AVP blood levels appears to happen. In this review, we focus on clinical and experimental studies that analyzed AVP and copeptin blood concentrations over time in sepsis. The findings suggest that AVP and copeptin behave similarly in the early stages of sepsis; however, we did not find a proportional decrease in copeptin concentrations as seen with AVP during septic shock. Copeptin levels were higher in nonsurvivors than in survivors, suggesting that copeptin may work as a marker of severity or sepsis-related organ dysfunction.