Septic shock is a major burden to healthcare with mortality rates remaining high. Blood purification techniques aim to reduce cytokine levels and resultant organ failure. Regarding septic shock, hemoadsorption via CytoSorb seems promising, but the main effects on organ failure and mortality remain unclear. In this retrospective single-center study, septic shock patients receiving CytoSorb in addition to renal replacement therapy (n = 42) were analyzed and compared to matched controls (n = 42). A generalized propensity-score and Mahalanobis distance matching method (‘genetic’ matching) was applied. Baseline comparability was high. Differences were merely present in higher initial Sequential Organ Failure Assessment (SOFA) scores (median and interquartile range: 13.0 (12.0–14.75) vs. 12.0 (9.0–14.0)) and requirements of norepinephrine equivalents (0.54 (0.25–0.81) vs. 0.25 (0.05–0.54) µg/kg/min) in the CytoSorb group. While remaining fairly constant in the controls, the catecholamines decreased to 0.26 (0.11–0.40) µg/kg/min within 24 h after initiation of CytoSorb therapy. In-hospital mortality was significantly lower in the CytoSorb group (35.7% vs. 61.9%; p = 0.015). Risk factors for mortality within the CytoSorb group were high lactate levels and low thrombocyte counts prior to initiation. Hereby, a cut-off value of 7.5 mmol/L lactate predicted mortality with high specificity (88.9%). Thus, high lactate levels may indicate absent benefits when confronted with septic shock patients considered eligible for CytoSorb therapy.