This study aimed (1) to assess the diagnostic accuracy of neutrophil-to-lymphocyte (NLR), platelet-to-lymphocyte (PLR), monocyte-to-lymphocyte (MLR) and platelet count-to-mean platelet volume (PLT/MPV) ratios in predicting septic shock in patients on admission to the intensive care unit (ICU) and (2) to compare it with the role of C-reactive protein (CRP), procalcitonin (PCT) and lactate level. We also sought (3) to verify whether the indices could be useful in ICU mortality prediction and (4) to compare them with Acute Physiology and Chronic Health Evaluation II (APACHE II), Simplified Acute Physiology Score II (SAPS II) and Sequential Organ Failure Assessment (SOFA) scores. This retrospective study covered 138 patients, including 61 subjects with multi-organ failure due to septic shock (study group) and 77 sex- and age-matched controls. Septic patients had significantly higher NLR (p < 0.01) and NLR predicted septic shock occurrence (area under the ROC curve, AUROC = 0.66; 95% CI 0.58–0.74). PLR, MLR and PLT/MPV were impractical in sepsis prediction. Combination of CRP with NLR improved septic shock prediction (AUROC = 0.88; 95% CI 0.81–0.93). All indices failed to predict ICU mortality. APACHE II and SAPS II predicted mortality with AUROC = 0.68; 95% CI 0.54–0.78 and AUROC = 0.7; 95% CI 0.57–0.81, respectively. High NLR may be useful to identify patients with multi-organ failure due to septic shock but should be interpreted along with CRP or PCT. The investigated indices are not related with mortality in this specific clinical setting.