Background: The kidney is one major organ affected by cancer and its associated therapies. The aim of this study was to compare the levels of depression, quality of life and sleep quality in hemodialysis patients with or without cancer, and to analyze the associations with the malnutrition-inflammation score (MIS). Patients and Methods: In this cross-sectional study, 40 cancer patients under hemodialysis and 44 patients under hemodialysis without cancer who served as the control group were included. Participants underwent structured interviews to investigate depression, quality of life, sleep quality and restless legs syndrome. Results: Hemodialysis patients with cancer had a greater depression score (16.5 ± 4.8 vs. 10.8 ± 5.2, p < 0.001). Patients had similar physical and mental composite quality of life scores. Patients under hemodialysis with cancer had poor quality of sleep (mean score 8.8 ± 3.5 vs. 6.4 ± 4.1, p = 0.011) and a higher prevalence of restless leg syndrome (55.9 vs. 25.7%, p = 0.011). These features were associated with MIS in patients without cancer but not in patients with cancer. Conclusion: Cancer patients undergoing hemodialysis present a higher prevalence of depression, poor quality of life, sleep disorders; however, associations of these features with MIS are different in hemodialysis patients with or without cancer. These findings can change the clinical approach to these patients.