This article aims to identify the reasons why patients with major depressive episode (MDE) do not seek treatment for their mental disorder. 89 out of 208 persons screened were diagnosed with major depressive episode using the Mini-International Neuropsychiatric Interview. 85 individuals with untreated depression filled out the following questionnaires: Beck Depression Inventory, List of Explanations of Well-Being (LEWB), Brief Measure to Assess Perception of Self-Influence on the Course of the Disease, Coping Inventory for Stressful Situations, Brief Method of Evaluating Coping with Disease, and Metacognitions Questionnaire. There were 43 women (50.6%) and 42 men (49.4%), aged 24 to 93 years (Mean (M) = 68.26 years; Standard Deviation (SD) = 14.19 years), with dialysis vintage ranging from 1 month to 33 years (M = 70.63 months; SD = 75.26 months). Among study patients, 70.6% declared that depression was the cause of their poor well-being, 75.3% attributed their depressive symptoms to kidney failure, and 49.4%, more specifically, to hemodialysis. A total of 64.7% of patients had a low perception of self-influence on the course of their kidney disease, and 58.5% presented a coping style focused on emotions. The most frequent dysfunctional metacognitive beliefs were negative beliefs about not controlling one’s own thoughts. This attitude was related to the low perception of self-influence on the course of the disease, maladaptive coping styles, and dysfunctional metacognitive beliefs.