In this paper, we investigated the incidence of depression and its relation to clinical, laboratory parameters and sleep disorders in 45 haemodialysis (HD) patients. They were divided into two groups. Group A (n = 29) had no depression, whereas Group B (n = 16) had clinically assessed depression. Subjects were compared in terms of socioeconomic, clinical, laboratory parameters and presence of sleep disorders. Groups were matched for age, sex, family status, education, self-esteem, coffee and alcohol consumption, psychiatric history, time on HD and laboratory (serum urea, creatinine, electrolytes, iron, albumin and lipids) parameters. Group B demonstrated significantly lower haemoglobin levels (11.13 ± 1.69 and 12.23 ± 1.31 g/dl, respectively; p < 0.01) and higher C-Reactive Protein (CRP) levels (1.82 ± 1.73 and 0.83 ± 0.6 mg/dl, respectively; p < 0.005) compared to Group A. Additionally, strong correlation was observed when Hamilton Depression Scale scores were related to haemoglobin (r =-0.30, p < 0.05), CRP (r = 0.38, p < 0.001) and AIS scores (r = 0.54, p < 0.0001). In conclusion, depression seems to be related to high CRP, low haemoglobin levels and sleep disorders.