Background The number of patients who suffer from chronic renal failure (CRF) has widely increased worldwide. Patients with advanced stages of CRF experience a gradual and progressive loss of muscle and fat mass leading to decreased physical activity and mental health problems. The loss of muscle mass in CRF might contribute to the development of sarcopenia. Therefore, this study aimed to explore the prevalence of sarcopenia and to determine the relationship of physical activity and mental state of depression with sarcopenia in hemodialysis patients. Methods A cross-sectional study was designed with a total of 104 male and female with a minimum age of 35 years. Based on the guidelines of the Asian Working Group for Sarcopenia in 2019, gait speed, muscle mass, and handgrip were used to define sarcopenia. In addition, participants were requested to perform a set of questionnaires to evaluate their physical activity and state of depression. Logistic regression analyses were used to explore the risk factors of sarcopenia. Results Thirty-four (32.69%) of 104 participants had sarcopenia. Compared to the 70 individuals without sarcopenia, they had a low physical activity and a high depression score (ps < .05). Furthermore, low physical activity and high depression scores in combination with sarcopenia were associated with an increased mortality risk. Low physical activity and high depression scores were also independently associated with sarcopenia in hemodialysis patients after controlling for age (odds ratio = 3.23, and 4.92, respectively).