Neonatal sepsis is the third leading cause of neonatal mortality and a major public health problem, especially in developing countries. Although recent medical advances have improved neonatal care, many challenges remain in the diagnosis and management of neonatal infections. The diagnosis of neonatal sepsis is complicated by the frequent presence of noninfectious conditions that resemble sepsis, especially in preterm infants, and by the absence of optimal diagnostic tests. Since neonatal sepsis is a high-risk disease, especially in preterm infants, clinicians are compelled to empirically administer antibiotics to infants with risk factors and/or signs of suspected sepsis. Unfortunately, both broad-spectrum antibiotics and prolonged treatment with empirical antibiotics are associated with adverse outcomes and increase antimicrobial resistance rates. Given the high incidence and mortality of sepsis in preterm infants and its long-term consequences on growth and development, efforts to reduce the rates of infection in this vulnerable population are one of the most important interventions in neonatal care. In this review, we discuss the most common questions and challenges in the diagnosis and management of neonatal sepsis, with a focus on developing countries.