Background: Chronic kidney disease (CKD) is a risk factor for cognitive impairment (CI), and this risk is the highest in patients with end-stage kidney disease (ESKD). As a multifactorial disease, CI may be influenced by several potentially modifiable lifestyle and behavioral factors that may reduce or increase the risk of dementia. The aim of this study was to evaluate the associations between the known modifiable risk factors for dementia and the risk of CI in patients with ESKD treated with renal replacement therapy. The Charlson Comorbidity Index and the risk of CI in patients with ESKD were also assessed. Methods: In this cross-sectional study, 225 consecutive patients with ESKD treated with different modalities of renal replacement therapy were assessed for cognitive decline using the Addenbrooke’s Cognitive Examination (ACE III) test. Information was also collected on modifiable risk factors for dementia, medical history and demographics. Results: This study included 117 patients after kidney transplantation (KT) and 108 patients with ESKD undergoing peritoneal dialysis and hemodialysis. The prevalence of modifiable risk factors for dementia differed between the groups; KT patients were more likely to be physically active, residing in cities with populations of less than 500,000 inhabitants, and were less likely to suffer from depression. Furthermore, the KT group had a lower Charlson Comorbidity Index score, indicating less severe comorbidities, and a lower risk of CI (3.6 ± 1.67 vs. 5.43 ± 2.37; p = 0.001). In both the KT and dialysis groups, patients with CI were more likely to have a sedentary lifestyle (45% vs. 9%, p = 0.001 and 88% vs. 48%, p = 0.001, respectively), whereas lower educational attainment and depression had a significant negative impact on ACE III test results, but only in KT patients. Finally, cognitive function in dialysis patients was negatively affected by social isolation and living in urban areas. Conclusions: Modifiable risk factors for dementia, particularly a sedentary lifestyle, are associated with a higher risk of CI in patients treated with different renal replacement therapy modalities. As CI is an irreversible condition, it is important to identify lifestyle-related factors that may lead to dementia in order to improve or maintain cognitive function in patients with ESKD.