Background: Patients with end-stage kidney disease (ESKD), have been associated with higher risk of developing depression. Erythropoietin (EPO), frequently used for the treatment of anemia in ESKD patients, has been shown to have neuroprotective and antidepressant effects. In this study, we examined whether EPO treatment changed the risk of depression in ESKD patients. Methods: In a nationwide population-based cohort in Taiwan from 1998 to 2013, patients with a diagnosis of ESKD on maintenance dialysis and aged greater than 18 years were classified into EPO treatment group or non-EPO treatment group. All patients were followed up until the diagnosis of depressive disorder or the end of the study period. Results: In this cohort (13,067 patients in the EPO and 67,258 patients in the non-EPO group), 5569 patients were diagnosed as depressive disorder in the follow-up period. We found the risk of depression in EPO group was not significantly different from that in non-EPO group (adjusted hazard ratio = 0.98, 95% confidence interval 0.92–1.04, p = 0.499) after adjusting for sex, age, certification year of catastrophic illness for ESKD, physical co-morbidities, and use of benzodiazepines. Conclusion: In summary, using the nationwide reimbursement data in Taiwan, we found that EPO treatment in ESKD patients was not associated with their general risk of developing depression.