Sepsis is the most common cause of death among critically ill patients. The mortality will increase significantly if sepsis patients combine with acute kidney injury. However, the mechanism of sepsis development remains unclear nowadays. Both domestic and international researches on the sepsis management showed that continuous renal replacement therapy (CRRT), also known as continuous blood purification (CBP), plays a significant role in the treatment of sepsis. CRRT can improve the patients′ internal environment and immune homeostasis, inhibit a series of fundamental pathophysiological disorders, and increase the success rate of therapy. We will talk about the clinical efficacy and research progress of CRRT/CBP in patients with sepsis combined with AKI in this review.