Depression and anxiety are highly prevalent psychological disorders in end-stage renal disease (ESRD) that have a negative clinical impact. The purpose of our study was to identify factors associated with the presence of depression and anxiety, in a sample of ESRD patients treated with hemodialysis. We included 187 patients from two dialysis facilities, age 18–65 years. Beck’s depression and anxiety inventories, KDQOL36 questionnaire, the cognitive distortion scale and the Mexican scale of resilience were used. Socio-demographic and clinical information was obtained from medical records. Depression was present in 143 (76.4%) patients. Patient with depression were older (33 (26–52) years vs. 30 (24.43) years, p = 0.025), had a lower education level (36% vs. 9%, p = 0.001), used more medications (67% vs. 36%, p = 0.001), had a comorbidity (75% vs. 41%, p = 0.001), and a higher proportion were waiting for a kidney transplant. Anxiety was present in 112 (59.8%) cases. By multivariate analysis, depression was independently associated with lower education, absence of previous kidney transplant, anxiety, higher cognitive distortion, lower psychological resilience, and lower quality of life scores. In conclusion, lower psychological resilience, lower education level, and higher cognitive distortions are factors associated with depression and anxiety in ESRD patients.