<b><i>Introduction:</i></b> A randomized, controlled trial of a pedometer-based walking intervention with weekly activity goals led to increased walking among dialysis patients. We examined whether impairment per cognitive function screening is associated with adherence and performance in the intervention. <b><i>Methods:</i></b> Thirty dialysis patients were randomly assigned to a 3-month pedometer-based intervention with weekly goals. Participants were administered the Telephone Interview of Cognitive Status (TICS), a test of global mental status. We examined the association of levels of impairment on the TICS (≥33: unimpaired, 26–32: ambiguous impairment, 21–25: mild cognitive impairment [MCI]) with adherence, achieving weekly goals, and increasing steps, physical performance (Short Physical Performance Battery, SPPB), and self-reported physical function (PF) through multivariable linear mixed-model and logistic regression analyses adjusted for age, sex, BMI, dialysis modality, baseline steps, baseline SPPB, and stroke status. <b><i>Results:</i></b> One-third of participants were unimpaired, and 13% had MCI. Participants with worse results on cognitive function screening missed more calls and completed fewer weekly goals than participants with better results. During the intervention, a worse result on cognitive function screening was associated with smaller increases in steps compared to those without impairment: (ambiguous: −620 [95% CI −174, −1,415], MCI: −1,653 [95% CI −120, −3,187]); less improvement in SPPB (ambiguous: −0.22 points [95% CI −0.08, −0.44], MCI: −0.45 [95% CI −0.13, −0.77]); and less improvement in PF (ambiguous: −4.0 points [95% CI −12.2, 4.1], MCI: −14.0 [95% CI −24.9, −3.1]). During the postintervention period, a worse result on cognitive function screening was associated with smaller increases in SPPB (ambiguous: −0.54 [95% CI −1.27, 0.19], MCI: −0.97 [95% CI −0.37, −1.58]) and PF (ambiguous: −3.3 [95% CI −6.5, −0.04], MCI: −10.5 [95% CI −18.7, −2.3]). <b><i>Discussion/Conclusion:</i></b> Participants with worse results on cognitive function screening had worse adherence and derived less benefit from this pedometer-based intervention. Future exercise interventions should be developed incorporating methods to address cognitive impairment, for example, by including caregivers when planning such interventions.