Background: Hemodialysis patients are suffering from depressive symptoms. Brain-derived neurotrophic factor (BDNF) levels are negatively associated with depressive symptoms and decrease during a single hemodialysis session. Resistance training (RT) might be an additional non-pharmacological tool to increase BDNF and promote mental health. Methods: Two randomized groups of hemodialysis patients: control (CTL, n = 76/F36; 66.33 ± 3.88 years) and RT (n = 81/F35; 67.27 ± 3.24 years). RT completed six months of training thrice a week under the supervision of strength and conditioning professional immediately before the dialysis session. Training loads were adjusted using the OMNI rating of perceived exertion. The total antioxidant capacity (TROLOX), glutathione (GSH), thiobarbituric acid reactive substance (TBARS), and BDNF levels were analyzed in serum samples. Quality of life (assessed through Medical Outcomes—SF36), and Beck Depression Inventory was applied. Results: RT improved handgrip strength (21.17 ± 4.38 vs. 27.17 ± 4.34; p = 0.001) but not for CTL (20.09 ± 5.19 vs. 19.75 ± 5.54; p = 0.001). Post-training, RT group had higher values as compared to CTL related to TROLOX (RT,680.8 ± 225.2 vs. CTL,589.5 ± 195.9; p = 0.001) and GSH (RT, 9.33 ± 2.09 vs. CTL,5.00 ± 2.96; p = 0.001). RT group had lower values of TBARS as compared to CTL at post-training (RT, 11.06 ± 2.95 vs. CTL, 13.66 ± 2.62; p = 0.001). BDNF increased for RT (11.66 ± 5.20 vs. 19.60 ± 7.23; p = 0.001), but decreased for CTL (14.40 ± 4.99 vs. 10.84 ± 5.94; p = 0.001). Quality of life and mental health increased (p = 0.001) for RT, but did not change for CTL (p = 0.001). BDNF levels were associated with emotional dimensions of SF36, depressive symptoms, and handgrip (p = 0.001). Conclusions: RT was effective as a non-pharmacological tool to increased BDNF levels, quality of life, temper the redox balance and decrease depressive symptoms intensity in hemodialysis patients.