Depression is highly prevalent among hemodialysis patients. Understanding the relationship between the plasma neurofilament light chain (NfL) and brain-derived neurotrophic factor (BDNF) may help us to better understand the mechanisms of depression. This study determined their impact, alongside that of other factors, on the risk of depression in hemodialysis patients. The study enrolled 82 patients undergoing chronic hemodialysis. Serum NfL, BDNF, uric acid, urea, potassium, calcium, phosphorus, intact parathyroid hormone, and C-reactive protein (CRP) levels were measured. The patients completed the Beck Depression Inventory (BDI). Blood pressure values, body mass before and after hemodialysis, and weekly duration of hemodialysis in hours were assessed. For 19-month survival analysis, the patients were stratified according to baseline BDI scores. Based on the BDI score, 18.3% of the patients had an increased risk of depression. Lower scores were associated with significantly longer duration of hemodialysis treatment (37.5 (25-57) 24 (14-37) months, p = 0.01). Within the 19-month survival analysis, 31.7% of patients died. The patients with BDI scores above the median had significantly lower survival than those below the median (log-rank test p = 0.02). No significant differences in serum BDNF levels (192.7 [125.2-278.2]; 207.7 [142.8-265.8] pg/mL, p = 0.40), or NfL concentrations (1431.5 [1182.6-1625.7]; 1494.6 [1335.7-1667] kDa, p = 0.52) were found between patients with lower and higher risk of depression. Patients with BDI scores above the median had significantly higher levels of CRP (9.6 [4.4-14]) than those with scores below the median (3.6 [2.2-7.5], p = 0.01). A significant positive correlation was found between the BDI score and serum CRP level (r = 0.38, p = 0.01). A significant negative correlation was observed between the BDI score and URR% value (r = -0.36, p = 0.02). Patients with lower BDI scores had a longer dialysis duration, indicating a potential negative association between depression risk and length of dialysis treatment. Neither serum NfL nor BDNF levels can serve as markers of depression risk in the dialysis population.