Nutritional support in the intensive care setting represents a real challenge to intensivists. Its delivery and monitoring can be followed carefully. Parenteral nutrition (PN) represents an alternative or an additional approach when other routes are not safe or successful. The main goal of PN is to deliver a nutrient mixture closely related to the requirements safely and to avoid complications that have been investigated over the past decade. PN carries the huge risk of overfeeding, which can be as deleterious as underfeeding. This review focuses on the indications for PN, calorie targets, the relative importance of the macronutrients and micronutrients, complications, different proportions of different nutrients, and its possible complementary use with enteral nutrition.