Neonatal sepsis is considered critical for a significant increase in neonatal morbidity and mortality among hospitalized neonates. Neonatal sepsis, in most cases, coexists with coagulopathy, which can prove to be life-threatening. Complex molecular and cellular systems are involved in the cross-talk between inflammation and hemostasis during sepsis. Disturbances in the regulating systems of the vascular endothelium, and platelet–endothelial and platelet–neutrophil interactions play a pivotal role in both inflammation and coagulation. This complex process is poorly understood in neonates. In addition to the developmental maturation of hemostasis and the immune response in neonatal sepsis, a cellular model of hemostasis during sepsis should be taken into account. This review focused on the molecular and cellular mechanisms underlying inflammation and hemostasis during neonatal sepsis, taking the developmental immune response and developmental hemostasis into account in order to provide future diagnostic approaches to be applied in everyday clinical settings. Regarding the diagnostic modalities, we briefly provide the limitations of the currently used conventional coagulation assays, focusing on viscoelastic tests and platelet flow cytometry.