<b><i>Introduction:</i></b> High-flux hemodialysis membranes may modulate the cytokine storm of SARS-CoV-2, but their impact on chronic hemodialysis (CHD) patients is unknown. The aim of the study was the evaluation of asymmetric cellulose triacetate (ATA) and polymethylmethacrylate (PMMA) dialyzers on inflammatory markers and clinical outcomes in CHD patients with SARS-CoV-2. <b><i>Methods:</i></b> A prospective, observational study on CHD patients with SARS-CoV-2 was carried out. Patients were enrolled from March 2020 to May 2021. Pre- and postdialysis C-reactive protein (CRP), procalcitonin (PCT), and interleukin-6 (IL-6) were determined at each session. Patients who underwent on-line hemodiafiltration (OLHDF) with a PMMA dialyzer were compared with those treated with OLHDF with a ATA dialyzer. The primary endpoint was the differences in the reduction ratio per session (RR) of CRP, PCT, IL-6, and IL-6 RR >25%. <b><i>Results:</i></b> We consecutively enrolled 74 CHD patients with COVID-19, 48 were treated with ATA membrane, and 26 with PMMA. Median IL-6 RR was higher in the ATA group compared to PMMA (17.08%, IQR −9.0 to 40.0 vs. 2.95%, IQR −34.63 to 27.32). Median CRP RR was 7.77% (IQR 2.47–13.77) in the ATA group versus 4.8% (IQR −2.65 to 11.38) in the PMMA group (<i>p</i> = 0.0017). Median PCT-RR% was 77.38% (IQR 70.92–82.97) in ATA group versus 54.59% (IQR 42.62–63.16) in the PMMA group (<i>p</i> < 0.0001). A multiple logistic regression analysis with IL-6 RR >25% as the outcome including the membrane employed, pre-dialysis IL-6, CRP, PCT, and ferritin showed that ATA led to a higher probability to reach the outcome (OR 1.891, 95% CI 1.273–2.840, <i>p</i> = 0.0018) while higher CRP favors the risk of lower IL-6 RR values (OR 0.910, 95% CI 0.868–0.949, <i>p</i> ≤ 0.0001). <b><i>Conclusions:</i></b> In SARS-CoV-2 CHD patients treated with OLHDF, ATA showed a better anti-inflammatory profile, regarding IL-6 RR, compared to PMMA.