Sepsis and septic shock are leading causes of mortality in intensive care units, characterized by a dysregulated immune response to infection, leading to severe organ dysfunction. Oxygen therapy is a cornerstone of supportive care in sepsis management, aimed at correcting hypoxemia and improving tissue oxygenation. However, the administration of supplemental oxygen must be carefully managed to avoid hyperoxia, which can lead to oxidative stress and additional tissue damage. This review aims to comprehensively analyze the clinical evidence regarding hyperoxia in the context of sepsis and septic shock, evaluating its potential therapeutic benefits and risks and discussing the implications for clinical practice. A thorough literature review included observational studies, randomized controlled trials (RCTs), meta-analyses, and clinical guidelines. The review focuses on the pathophysiology of sepsis, the mechanisms of hyperoxia-induced injury, and the clinical outcomes associated with different oxygenation strategies. The evidence suggests that while oxygen is crucial in managing sepsis, the risk of hyperoxia-related complications is significant. Hyperoxia has been associated with increased mortality and adverse outcomes in septic patients due to mechanisms such as oxidative stress, impaired microcirculation, and potential worsening of organ dysfunction. RCTs and meta-analyses indicate that conservative oxygen therapy may be beneficial in reducing these risks, though optimal oxygenation targets remain under investigation. This review highlights the importance of careful oxygen management in sepsis and septic shock, emphasizing the need for individualized oxygen therapy to avoid the dangers of hyperoxia. Further research is required to refine oxygenation strategies, establish clear clinical guidelines, and optimize outcomes for sepsis and septic shock patients. Balancing adequate oxygenation with the prevention of hyperoxia-induced injury is crucial in improving the prognosis of these critically ill patients.