Background: Sepsis and septic shock are still major causes of morbidity and mortality in spite of the availability of powerful and broadly active antibiotics. Methods: A prospective, open and randomized trial of the effect of immobilized polymyxin fibers (PMX-F) on the survival of patients with sepsis throughout a follow-up period of 28 days or until discharge, if earlier, was carried out. Ninety-eight patients were included who met at least 4 of the criteria for systemic inflammatory response syndrome due to infection. The patients were classified into three groups based on their Acute Physiology and Chronic Health Evaluation (APACHE) II score. Results: The overall survival rate was significantly improved by using PMX-F compared to the control group (41 vs. 11%) (p = 0.002). In patients with an APACHE II score less than 20, treatment with PMX-F was shown to improve outcome (65 vs. 19%) (p = 0.01). In cases of more severe sepsis with an APACHE II score of 20–29, PMX-F still maintained efficacy in improving outcome (40 vs. 11%) (p = 0.04). However, PMX-F treatment did not improve the survival rate in patients with an APACHE II score of greater than 30 (survival rate 7 vs. 0%) (p = 0.59). Conclusion: From these results, it is concluded that treatment with PMX-F in patients with sepsis is effective and prolongs the survival rate when applied at an early stage of sepsis. However, in severe sepsis, this therapy does not improve the survival rate.