Both the role and the importance of magnesium in clinical practice have grown considerably in recent years. Emerging evidence suggests an association between loss of magnesium homeostasis and increased mortality in the critical care setting. The underlying mechanism is still unclear, but an increasing number of in vivo and in vitro studies on magnesium’s immunomodulating capabilities may shed some light on the matter. This review aims to discuss the evidence behind magnesium homeostasis in critically ill patients, and its link with intensive care unit mortality via a likely magnesium-induced dysregulation of the immune response. The underlying pathogenetic mechanisms, and their implications for clinical outcomes, are discussed. The available evidence strongly supports the crucial role of magnesium in immune system regulation and inflammatory response. The loss of magnesium homeostasis has been associated with an elevated risk of bacterial infections, exacerbated sepsis progression, and detrimental effects on the cardiac, respiratory, neurological, and renal systems, ultimately leading to increased mortality. However, magnesium supplementation has been shown to be beneficial in these conditions, highlighting the importance of maintaining adequate magnesium levels in the intensive care setting.