Septic shock is a condition associated with diffuse coagulopathy and multiple organ failure, and frequently ends in death. Direct hemoperfusion using a polymyxin B-immobilized fiber column (DHP-PMX) was first developed in Japan in 1994 and has since been used for the treatment of septic shock. On the other hand, the effectiveness of continuous hemodiafiltration using a polymethylmethacrylate membrane hemofilter (PMMA-CHDF) for critically ill patients has also been reported. We treated 27 septic shock patients by DHP-PMX. The patients, except for the nine in whom CHDF was not performed after DHP-PMX, were divided into two groups: namely, a group in which PMMA-CHDF therapy was added after DHP-PMX (111 cases), and a group in which continuous hemodiafiltration using a polyacrylonitrile membrane hemofilter (PAN-CHDF) therapy was added after DHP-PMX (7 cases). The outcomes in the two groups were compared. The average Acute Physiology and Chronic Health Evaluation (APACHE) If score and the average sepsis-related organ failure assessment (SOFA) score were not significantly different between the two groups. The PMMA-CHDF group showed significantly better outcomes, with significant improvements of the serum PAI-1, protein C, IL-6 and N-arachidonoylethanolamine (AEA) levels. We conclude that PMMA-CHDF may be more effective than PAN-CHDF in the management of septic shock.