Sepsis is a life-threatening condition resulting from an inflammatory overreaction that is induced by an infectious factor, which leads to multi-organ failure. Sepsis-associated encephalopathy (SAE) is a common complication of sepsis that can lead to acute cognitive and consciousness disorders, and no strict diagnostic criteria have been created for the complication thus far. The etiopathology of SAE is not fully understood, but plausible mechanisms include neuroinflammation, blood–brain barrier disruption, altered cerebral microcirculation, alterations in neurotransmission, changes in calcium homeostasis, and oxidative stress. SAE may also lead to long-term consequences such as dementia and post-traumatic stress disorder. This review aims to provide a comprehensive summary of substances with neuroprotective properties that have the potential to offer neuroprotection in the treatment of SAE. An extensive literature search was conducted, extracting 71 articles that cover a range of substances, including plant-derived drugs, peptides, monoclonal antibodies, and other commonly used drugs. This review may provide valuable insights for clinicians and researchers working in the field of sepsis and SAE and contribute to the development of new treatment options for this challenging condition.