The discovery of neutrino oscillations implies non-zero masses for active neutrinos, which may result from the presence of massive sterile neutrinos, or heavy neutral leptons (HNLs). The most recent searches for HNLs at the CMS experiment are presented. Searches using proton-proton collisions at $\sqrt{s}=13$ TeV recorded in the 2016-2018 data-taking period exploited various production and decay channels, focusing both on short- and long-lived HNLs for masses ranging from few GeV to the TeV scale. So far, observations are consistent with SM background predictions. The results are interpreted as upper limits on active-sterile mixing parameters, for various mixing scenarios, and under both Majorana and Dirac assumptions.