Sepsis is a life-threatening organ dysfunction caused by unregulated host response to infection. During sepsis, the body presents immune system disorder, and impaired hypothalamus-pituitary-adrenal (HPA) axis, which results in unregulated hormone secretion. Although a great number of studies have demonstrated the pivotal role of HPA axis and adrenal gland mircoenvironment in the progression of sepsis, its molecular mechanisms are not clarified. This review is designed to discuss the role of neuroendocrine immune network during the progression of sepsis. This review described the condition of HPA axis dysfunction and the relative adrenal insufficiency during sepsis, systematically introduces how neuroendocrine immune network are involved in the progress and prognosis of sepsis, and to further elaborate the changes in HPA axis and adrenal gland microenvironment and explore possible molecular mechanisms. The molecular mechanism of neuroendocrine immune network during sepsis is important and is helpful to provide new approaches to treatment of septic patients.