Sepsis, characterized by a dysregulated host response to infection that leads to life-threatening organ dysfunction, remains a leading cause of mortality in the intensive care unit (ICU). Despite continuous optimization of treatment strategies, mortality rates remain high. Therapeutic plasma exchange (TPE) has emerged as a promising adjunctive therapy, offering benefits through the removal of harmful substances and the replenishment of essential plasma components. The key mechanisms of TPE include replenishing deficient plasma components, clearing inflammatory cytokines, improving thrombotic microangiopathy, regulating immune imbalance, and enhancing vascular endothelial function. Although the efficacy of TPE in sepsis and septic shock management shows promise, the current evidence is predominantly derived from retrospective studies and small-scale randomized controlled trials (RCTs). As a result, the overall therapeutic effectiveness is inconclusive. The guidelines from the American Society for Apheresis and the Surviving Sepsis Campaign offer cautious recommendations for the use of TPE, particularly in patients with sepsis and multiple organ failure. Emerging RCTs suggest that early initiation of TPE can stabilize hemodynamics, reduce vasopressor requirements, and improve organ function, especially in cases of refractory septic shock. However, safety concerns need to be carefully considered, including hypotension and the potential for blood-borne infections. Future research should focus on larger RCTs to provide robust evidence supporting the role of TPE in sepsis and septic shock management. This review aims to summarize related research results to provide evidence for clinicians to use TPE in treating sepsis and septic shock.