Sepsis, a condition of significant clinical concern, is characterized by life-threatening organ dysfunction that arises from an infection and is exacerbated by a dysregulated host response. Targeting immune modulation, particularly against tumor necrosis factor-alpha (TNF-α), has emerged as a promising anti-inflammatory therapeutic strategy. However, approaches such as blood purification to eliminate inflammatory mediators or the use of anti-TNF-α therapies have shown limited efficacy in clinical practice. This literature review aims to elucidate the pathogenesis of sepsis and dissect the factors contributing to unfavorable outcomes in TNF-α-targeted treatments. Our analysis highlights several potential reasons for therapeutic failure. Complete blockade of TNF-α may adversely affect both TNFR1 and TNFR2 signaling, thereby reducing the efficacy of TNF-α inhibitors. Additionally, the complex heterogeneity of sepsis, including the etiology of infection, patient-specific factors (e.g., immune responsiveness, body mass index, and obesity), the development of anti-drug antibodies, and treatment duration, significantly influences therapeutic outcomes. Based on these insights, we emphasize the need for precision medicine in sepsis management. This includes stratifying patients into subgroups, using TNFR2 agonists or TNFR1-specific antagonists, refining drug design, implementing multi-target combination therapies, and considering the patient's physiological state at the time of treatment. Collectively, these strategies could enhance the efficacy of sepsis management. This review underscores the multifaceted nature of sepsis treatment and highlights the imperative for personalized, multimodal therapeutic approaches to improve clinical outcomes.