Animal experiments are widely used in preclinical medical research with the goal of disease modeling and exploration of novel therapeutic approaches. In the context of sepsis and septic shock, the translation into clinical practice has been disappointing. Classical animal models of septic shock usually involve one-sex-one-age animal models, mostly in mice or rats, contrasting with the heterogeneous population of septic shock patients. Many other factors limit the reliability of preclinical models and may contribute to preclinical research failure in critical care, including the host specificity of several pathogens, the fact that laboratory animals are raised in pathogen-free facilities and that organ support techniques are either absent or minimal. Advanced animal models have been developed with the aim of improving the clinical translatability of experimental findings. So-called animal ICUs refer to the preclinical investigation of adult or even aged animals of either sex, using—in case of rats and mice—miniaturized equipment allowing for reproducing an ICU environment at a small animal scale and integrating chronic comorbidities to more closely reflect the clinical conditions studied. Strength and limitations of preclinical animal models designed to decipher the mechanisms involved in septic cardiomyopathy are discussed. This article reviews the current status and the challenges of setting up an animal ICU.