Sepsis is a major immune response disorder caused by infection, with very high incidence and mortality rates. In the clinic, sepsis and its complications are mainly controlled and treated with antibiotics, anti-inflammatory, and antioxidant drugs. However, these treatments have some shortcomings, such as rapid metabolism and severe side effects. The emergence of drug delivery nanosystems can significantly improve tissue permeability, prolong drugs' circulation time, and reduce side effects. In this paper, we reviewed recent drug delivery nanosystems designed for sepsis treatment based on their mechanisms (anti-bacterial, anti-inflammatory, and antioxidant). Although great progress has been made recently, clinical practice transformation is still very difficult. Therefore, we also discussed key obstacles, including tissue distribution, overcoming bacterial resistance, and single treatment modes. Finally, a rigorous optimization of drug delivery nanosystems is expected to present great potential for sepsis therapy.