Despite continued advances in neonatal medicine, sepsis remains a leading cause of death worldwide in neonatal intensive care units. The clinical presentation of sepsis in neonates varies markedly from that in older children and adults, and distinct acute inflammatory responses results in age-specific inflammatory and protective immune response to infection. This review first provides an overview of the neonatal immune system, then covers current mainstream, and experimental preventive and adjuvant therapies in neonatal sepsis. We also discuss how the distinct physiology of the perinatal period shapes early life immune responses and review strategies to reduce neonatal sepsis-related morbidity and mortality. A summary of studies that characterize immune ontogeny and neonatal sepsis is presented, followed by discussion of clinical trials assessing interventions such as breast milk, lactoferrin, probiotics, and pentoxifylline. Finally, we critically appraise future treatment options such as stem cell therapy, other antimicrobial protein and peptides, and targeting of pattern recognition receptors in an effort to prevent and/or treat sepsis in this highly vulnerable neonatal population.