Patients with severe neutropenia who develop septic shock (SS) have high mortality. This study aimed to evaluate the risk factors and mortality of SS in patients with HM and febrile neutropenia. We included all patients with hematological malignancies (HM) who presented fever and severe neutropenia, admitted to an oncological tertiary care center in Mexico City for one year. Two hundred ninety-two episodes of fever and severe neutropenia were documented; 68 patients (23.2%) developed SS. Documented clinical infection was different between SS and non-SS patients (94.1% vs. 63.4%, p < 0.001); pneumonia was the most frequent infection (36.8% vs. 23.2%, p = 0.02). Also, in SS vs. non-SS, there were more positive cultures (69.1% vs. 38.4%, p < 0.001), higher frequency of Gram-negative bacteria (89.3% vs. 63.9%, p < 0.001), particularly Escherichia coli (68% vs. 44.2%) and Klebsiella spp. (23.4% vs. 15.1%). There were no differences when multidrug-resistant (MDR) microorganisms were compared. In the multivariate analysis, associated risk factors for SS were: prolonged neutropenia, a documented site of infection, and having received highly myelosuppressive chemotherapy. Risk factors for mortality at 30 days were: older patients, prolonged neutropenia, and SS. Severe and prolonged neutropenia was associated with SS development and mortality at 30 days. ICU management should be offered to all critically ill patients with HM if long-term survival of the underlying malignancy is expected.