(1) Background: Cognitive impairment (CI) is more prevalent in hemodialysis (HD) patients than in the general population. The purpose of this study was to examine if behavioral, clinical, and vascular variables are linked with CI in individuals with HD. (2) Methods: Initially, 47 individuals with chronic HD volunteered to participate in the trial, but only 27 patients ultimately completed the Montreal Cognitive Assessment (MoCA) and the Computerized Cognitive Assessment Tool (CompBased-CAT). We collected information on smoking, mental activities, physical activity (Rapid Assessment of Physical Activity, RAPA), and comorbidity. The oxygen saturation (rSO2) and pulse wave velocity (PWV; IEM Mobil-O-Graph) of the frontal lobes were measured. (3) Results: Significant associations were discovered between MoCA and rSO2 (r = 0.44, p = 0.02 and r = 0.62, p = 0.001, right/left, respectively), PWV (r = −0.69, p = 0.0001), CCI (r = 0.59, p = 0.001), and RAPA (r = 0.72, p = 0.0001). Those who actively occupied their time during dialysis and non-smokers achieved higher cognitive exam results. A multivariate regression study demonstrated that physical activity (RAPA) and PWV had separate effects on cognitive performance. (4) Conclusions: Cognitive skills are related to inter-dialysis healthy habits (physical activity, smoking) and intra-dialysis activities (tasks and mind games). Arterial stiffness, oxygenation of the frontal lobes, and CCI were linked with CI.