Hemodialysis patients experience high oxidative stress because of systemic inflammation and depletion of antioxidants. Little is known about the global oxidative status during dialysis or whether it is linked to the type of dialysis. We investigated the oxidative status before (pre-) and after (post-) one dialysis session in patients subjected to high-flux dialysis (HFD) or on-line hemodiafiltration (OL-HDF). We analyzed carbonyls, oxidized LDL (oxLDL), 8-hydroxy-2′-deoxyguanosine, and xanthine oxidase (XOD) activity as oxidative markers, and total antioxidant capacity (TAC), catalase, and superoxide dismutase activities as measures of antioxidant defense. Indices of oxidative damage (OxyScore) and antioxidant defense (AntioxyScore) were computed and combined into a global DialysisOxyScore. Both dialysis modalities cleared all markers (p < 0.01) except carbonyls, which were unchanged, and oxLDL, which increased post-dialysis (p < 0.01). OxyScore increased post-dialysis (p < 0.001), whereas AntioxyScore decreased (p < 0.001). XOD and catalase activities decreased post-dialysis after OL-HDF (p < 0.01), and catalase activity was higher after OL-HDF than after HFD (p < 0.05). TAC decreased in both dialysis modalities (p < 0.01), but remained higher in OL-HDF than in HFD post-dialysis (p < 0.05), resulting in a lower overall DialysisOxyScore (p < 0.05). Thus, patients on OL-HDF maintain higher levels of antioxidant defense, which might balance the elevated oxidative stress during dialysis, although further longitudinal studies are needed.