Neonatal septic shock is a devastating condition associated with high morbidity and mortality. Definitions for the sepsis continuum and treatment algorithms specific for premature neonates are needed to improve studies of septic shock and assess benefit from clinical interventions. Unique features of the immature immune system and pathophysiologic responses to sepsis, particularly those of extremely preterm infants, necessitate that clinical trials consider them as a separate group. Keen clinical suspicion and knowledge of risk factors will help to identify those neonates at greatest risk for development of septic shock. Genomic and proteomic approaches, particularly those that use very small sample volumes, will increase our understanding of the pathophysiology and direct the development of novel agents for prevention and treatment of severe sepsis and shock in the neonate. Although at present antimicrobial therapy and supportive care remain the foundation of treatment, in the future immunomodulatory agents are likely to improve outcomes for this vulnerable population.