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Preclinical sepsis models have been used for decades to study the pathophysiologic processes during sepsis and shock. Although these studies revealed promising immunomodulating agents for the treatment of sepsis, clinical trials evaluating the efficacy of these new agents in patients with sepsis were disappointing. The main reason for this unsatisfactory experience might be that unlike the clinical situation, most of these preclinical models are devoid of a localized infectious source from which the infection disseminates. Studies on the effects of several immunomodulating strategies have demonstrated strikingly opposite results when sepsis models with a more natural route of infection, such as pneumonia, were used. In this review, we will give insights into pneumonia models and discuss results and differences in the innate immune responses during distinct pulmonary infection models.