Nitric oxide (NO) is produced by several cell types and has effects both detrimental and beneficial to the host. Sepsis and septic shock are conditions in which NO plays a central role in physiopathology. Stressful circumstances such as pathogens, toxins, and trauma elicit a wide variety of physiological changes. Steroid hormones and notably glucocorticoids are one of the main players in this orchestrated response. Although steroids have been used for sepsis some decades ago, their use in this condition was practically banned for several years following studies showing that high glucocorticoid doses were harmful to the host. Recently, the subject has been raised again since some studies demonstrated that adrenal insufficiency may happen in sepsis and that low dose/long-term regimen with cortisol may be beneficial to sepsis and septic shock. However, there are great gaps in our knowledge regarding the role played by steroids in sepsis, as well as the contribution of NO. In the present review, we will attempt to highlight the relationship among NO, sepsis and steroids, mainly glucocorticoids. A second purpose is to raise some unanswered questions that may provide better therapeutic alternatives to treat sepsis and septic shock.