Monitoring for thrombosis and hemolysis is crucial for patients under extracorporeal or mechanical circulatory support, but it can be costly. We investigated correlations between hemolysis index (HI) and plasma-free hemoglobin (PFH) levels on one hand, and between the HI and plasma lactate dehydrogenase (LDH) levels on the other, in critically ill patients with and without extracorporeal or mechanical circulatory support. Additionally, we calculated the cost reductions if monitoring through HI were to replace monitoring through PFH or plasma LDH. In a single-center study, HI was compared with PFH and plasma LDH levels in blood samples taken for routine purposes in critically ill patients with and without extracorporeal or mechanical circulatory support. A cost analysis, restricted to direct costs associated with each measurement, was made for an average 10-bed ICU. This study included 147 patients: 56 patients with extracorporeal or mechanical circulatory support (450 measurements) and 91 patients without extracorporeal or mechanical circulatory support (562 measurements). The HI correlated well with PFH levels (r = 0.96; p < 0.01) and poorly with plasma LDH levels (r = 0.07; p < 0.01) in patients with extracorporeal or mechanical circulatory support. Similarly, HI correlated well with PFH levels (r = 0.97; p < 0.01) and poorly with plasma LDH levels (r = −0.04; p = 0.39) in patients without extracorporeal or mechanical circulatory support. ROC analyses demonstrated a strong performance of HI, with the curve indicating excellent discrimination in the whole cohort (area under the ROC of 0.969) as well as in patients under ECMO or mechanical circulatory support (area under the ROC of 0.988). Although the negative predictive value of HI for predicting PFH levels > 10 mg/dL was high, its positive predictive value was found to be poor at various cutoffs. A simple cost analysis showed substantial cost reduction if HI were to replace PFH or plasma LDH for hemolysis monitoring. In conclusion, in this cohort of critically ill patients with and without extracorporeal or mechanical circulatory support, HI correlated well with PFH levels, but poorly with plasma LDH levels. Given the high correlation and substantial cost reductions, a strategy utilizing HI may be preferable for monitoring for hemolysis compared to monitoring strategies based on PFH or plasma LDH. The PPV of HI, however, is unacceptably low to be used as a diagnostic test.