Although it is generally understood that no single animal model truly reflects human sepsis, the study of sepsis in immunocompromised animals is highly relevant to human sepsis research. The majority of patients with severe sepsis have significant underlying diseases that may alter innate immune defenses, disrupt microbial clearance mechanisms, and complicate the pathophysiology of human sepsis. Septic shock itself has significant effects upon the innate and adaptive host immune responses that may contribute to a state of sepsis-induced immune dysregulation. A number of animal models of sepsis displaying an array of immunocompromised states are now available. Most of these systems are small animal models with genetically defined defects of immune defenses or acquired defects from receipt of immunosuppressive or myeloablative agents. Greater emphasis should be placed on preclinical models of immunocompromised animals in the future to assess the potential clinical utility of novel drugs for human septic shock.