Intensive care unit (ICU) patients develop an altered host immune response after severe injuries. This response may evolve towards a state of persistent immunosuppression that is associated with adverse clinical outcomes. The expression of human leukocyte antigen DR on circulating monocytes (mHLA-DR) and ex vivo release of tumor necrosis factor α (TNF-α) by lipopolysaccharide-stimulated whole blood are two related biomarkers offered to characterize this phenomenon. The purpose of this study was to concomitantly evaluate the association between mHLA-DR and TNF-α release and adverse clinical outcome (i.e., death or secondary infection) after severe trauma, sepsis or surgery in a cohort of 353 ICU patients. mHLA-DR and TNF-α release was similarly and significantly reduced in patients whatever the type of injury. Persistent decreases in both markers at days 5–7 (post-admission) were significantly associated with adverse outcomes. Overall, mHLA-DR (measured by flow cytometry) appears to be a more robust and standardized parameter. Each marker can be used individually as a surrogate of immunosuppression, depending on center facilities. Combining these two parameters could be of interest to identify the most immunosuppressed patients presenting with a high risk of worsening. This last aspect deserves further exploration.