Sepsis carries a substantial risk of morbidity and mortality in newborns, especially preterm-born neonates. Endothelial glycocalyx (eGC) is a carbohydrate-rich layer lining the vascular endothelium, with important vascular barrier function and cell adhesion properties, serving also as a mechano-sensor for blood flow. eGC shedding is recognized as a fundamental pathophysiological process generating microvascular dysfunction, which in turn contributes to multiple organ failure and death in sepsis. Although the disruption of eGC and its consequences have been investigated intensively in the adult population, its composition, development, and potential mechanisms of action are still poorly studied during the neonatal period, and more specifically, in neonatal sepsis. Further knowledge on this topic may provide a better understanding of the molecular mechanisms that guide the sepsis pathology during the neonatal period, and would increase the usefulness of endothelial glycocalyx dysfunction as a diagnostic and prognostic biomarker. We reviewed several components of the eGC that help to deeply understand the mechanisms involved in the eGC disruption during the neonatal period. In addition, we evaluated the potential of eGC components as biomarkers and future targets to develop therapeutic strategies for neonatal sepsis.