Therapeutic plasma exchange (TPE) is a therapeutic intervention that separates plasma from blood cells to remove pathological factors or to replenish deficient factors. The use of TPE is increasing over the last decades. However, despite a good theoretical rationale and biological plausibility for TPE as a therapy for numerous diseases or syndromes associated with critical illness, TPE in the intensive care unit (ICU) setting has not been studied extensively. A group of eighteen experts around the globe from different clinical backgrounds used a modified Delphi method to phrase key research questions related to “TPE in the critically ill patient”. These questions focused on: (1) the pathophysiological role of the removal and replacement process, (2) optimal timing of treatment, (3) dosing and treatment regimes, (4) risk–benefit assumptions and (5) novel indications in need of exploration. For all five topics, the current understanding as well as gaps in knowledge and future directions were assessed. The content should stimulate future research in the field and novel clinical applications.