The treatment of sepsis and septic shock remains a major public health issue due to the associated morbidity and mortality. Despite an improvement in the understanding of the physiological and pathological mechanisms underlying its genesis and a growing number of studies exploring an even higher range of targeted therapies, no significant clinical progress has emerged in the past decade. In this context, mesenchymal stem cells (MSCs) appear more and more as an attractive approach for cell therapy both in experimental and clinical models. Pre-clinical data suggest a cornerstone role of these cells and their secretome in the control of the host immune response. Host-derived factors released from infected cells (i.e., alarmins, HMGB1, ATP, DNA) as well as pathogen-associated molecular patterns (e.g., LPS, peptidoglycans) can activate MSCs located in the parenchyma and around vessels to upregulate the expression of cytokines/chemokines and growth factors that influence, respectively, immune cell recruitment and stem cell mobilization. However, the way in which MSCs exert their beneficial effects in terms of survival and control of inflammation in septic states remains unclear. This review presents the interactions identified between MSCs and mediators of immunity and tissue repair in sepsis. We also propose paradigms related to the plausible roles of MSCs in the process of sepsis and septic shock. Finally, we offer a presentation of experimental and clinical studies and open the way to innovative avenues of research involving MSCs from a prognostic, diagnostic, and therapeutic point of view in sepsis.