Abstract Background Septic shock is a leading cause of death in critical patients. In patients with gram-negative septic shock, hemoperfusion with polymyxin B aims to remove endotoxins from plasma. We analyzed the clinical and biological response to hemoperfusion in patients with septic shock and acute kidney injury. Methods This prospective case–control study in the medical–surgical intensive care unit of a university hospital included consecutive adults patients with septic shock and suspected gram-negative bacteria infection with elevated plasma endotoxin activity (EAA > 0.6 EU/ml) and acute kidney injury requiring continuous renal replacement therapy (CRRT). At onset of septic shock, half underwent CRRT plus hemoperfusion with polymyxin B for two hours a day during two consecutive days (hemoperfusion group) and half received only CRRT (control group). We measured clinical, physiological, and biological parameters (EAA, C-reactive protein, procalcitonin, and cytokines) daily during the first 5 days. Results We included 18 patients (male, 33%; mean age, 67.5; mean SOFA score, 11.3). Abdominal infections predominated (50% had peritonitis). At the beginning of CRRT, RIFLE classification was “failure” for 72% and “injury” for 28%. Baseline characteristics did not differ between groups. Patients in the hemoperfusion group required longer mechanical ventilation (12.4 vs. 9.4 days, p = 0.03) and CRRT (8.5 vs. 6 days, p = 0.01) than in the control group. Noradrenaline doses, lactate, procalcitonin, and C-reactive protein decreased in both groups. At day 5, EAA was significantly lower in the hemoperfusion group (0.58 EU/ml vs. 0.73 EU/ml in controls, p = 0.03). There were no significant differences between groups in other biomarkers or ICU mortality (33.3% in the treatment group vs. 44.4% in the control group, p = 0.5). No adverse effects of hemoperfusion were observed. Conclusions Hemoperfusion with polymyxin B added to CRRT resulted in faster decrease in endotoxin levels, but we observed no improvements in clinical, physiological, or biological parameters.