(1) Background: Cognitive impairment (CI) is common in chronic kidney disease (CKD) and patients treated with hemodialysis. (2) Methods: The systematic review was prepared following the PRISMA statement (2013). The biomedical electronic databases MEDLINE and SCOPUS were searched. (3) Results: out of 1093 studies, only 30, which met problem and population criteria, were included in this review. The risk factors for CI can be divided into three groups: traditional risk factors (present in the general population), factors related to dialysis sessions, and nontraditional risk factors occurring more frequently in the HD group. (4) Conclusions: the methods of counteracting CI effective in the general population should also be effective in HD patients. However, there is a need to develop unique anti-CI approaches targeting specific HD risk factors, i.e., modified hemodialysis parameters stabilizing cerebral saturation and blood flow.