Introduction: At the time of renal replacement therapy, approximately 20% of critically ill patients have septic shock. In this study, medium cutoff (MCO) continuous venovenous hemodialysis (CVVHD) was compared to high-flux membrane continuous venovenous hemodiafiltration (CVVHDF) in terms of hemodynamic improvement, efficiency, middle molecule removal, and inflammatory system activation. Methods: This is a monocenter crossover randomized study. Between December 31, 2017, and December 31, 2019, 20 patients with septic shock and stage 3 acute kidney injury (AKI) admitted to 2 Italian ICUs were enrolled. All patients underwent CVVHD with Ultraflux® EMiC®2 and CVVHDF with AV1000S® without washout. Each treatment lasted 24 h. Results: Compared to AV1000S®-CVVHDF, EMIC®2-CVVHD normalized cardiac index (β = −0.64; p = 0.02) and heart rate (β = 5.72; p = 0.01). Interleukin-8 and myeloperoxidase removal were greater with AV1000S®-CVVHDF than with EMiC®2-CVVHD (β = 0.35; p < 0.001; β = 0.43; p = 0.03, respectively). Leukocytosis improved over 24 h in EMiC®2-CVVHD-treated patients (β = 4.13; p = 0.03), whereas procalcitonin levels decreased regardless of the modality (β = 0.89; p = 0.01) over a 48-h treatment period. Reduction rates, instantaneous plasmatic clearance of urea, creatinine, and β2-microglobulin were similar across modalities. β2-Microglobulin removal efficacy was greater in the EMiC®2 group (β = 0–2.88; p = 0.002), while albumin levels did not differ. Albumin was undetectable in the effluent in both treatments. Discussion: In patients with septic shock and severe AKI, the efficacy of uremic toxin removal was comparable between MCO-CVVHD and CVVHDF. Further, MCO-CVVHD was associated with improved hemodynamics. Fraction of filtration and transmembrane pressure reduction and the maintenance of equal efficacy might be the key features of CVVHD with MCO membranes in critically ill patients.