The biomarkers lactate, procalcitonin, and amino-terminal pro-B-type natriuretic peptide (NT-proBNP) are often promoted as being useful for prognostication in septic shock. This study aimed to compare the prognostic utility of these biomarkers with each other and with cytokine measurements and clinical severity scores, and to assess how these biomarkers may be combined to improve their prognostic utility. Seventy-two patients with septic shock were studied. The biomarkers were measured on the first 3 days of stay in the intensive care unit together with serum IL-1beta, IL-6, IL-10, and TNF-alpha levels. Although elevated baseline lactate levels predicted 28-day mortality, elevated procalcitonin and NT-proBNP levels were only predictive from days 2 and 3, respectively. The prognostic utility of baseline lactate levels was poorer than that of baseline cytokine levels, the Acute Physiology and Chronic Health Evaluation II score, and the Sequential Organ Failure Assessment score. However, a rising trend in lactate and procalcitonin levels between days 1 and 2 had superior prognostic utility compared with absolute levels. Indeed, using multivariate analysis, the presence of a concurrent increase in both lactate and procalcitonin levels between days 1 and 2 superseded all cytokine measurements and clinical severity scores as the sole independent predictor of 28-day mortality. In conclusion, elevated baseline lactate levels offer superior prognostic accuracy to baseline procalcitonin levels, which in turn are superior to NT-proBNP levels. To improve their prognostic utility beyond those of cytokine measurements and clinical severity scores, serial lactate and procalcitonin measurements may be combined.