Affective disorders promote poorer outcomes in hemodialysis patients. According to the presence or not of depression/anxiety in these patients, aims were to analyze differences in sociodemographic, clinical and/or psychological factors and to identify predictors. One hundred eighty-six hemodialysis patients were classified based on their depression/anxiety status. Basal characteristics showed differences between groups where mainly male sex (Depression: OR 0.2; Anxiety: OR 0.3) albumin (Depression: OR 0.1; Anxiety: OR 0.2) and calcium levels (Depression: OR 0.5; Anxiety: OR 0.4), impaired quality of life (Depression: OR 1.4; Anxiety: OR 1.2) and psychological inflexibility (Depression: OR 1.3; Anxiety: OR 1.2) were associated (all p < 0.01) to these mental conditions. Multivariate models showed that worse quality of life (OR 1.3; p < 0.001) predicted depression while marital status (with a partner; OR 0.3; p = 0.025) and albumin levels (OR 0.1; p = 0.027) were protective factors. Depression represented a risk factor for anxiety (OR 1.2; p = 0.001), although calcium levels (OR 0.5; p = 0.039) would protect this state. Interestingly, psychological inflexibility predicted both disorders (Depression: OR 1.2, p < 0.001 and Anxiety: OR 1.1; p = 0.002). Results highlight the relevance of well-trained multidisciplinary hemodialysis units to control the influence of these factors on the presence of depression/anxiety, and thus, their impact on the patients’ outcomes.