End-stage renal disease (ESRD) is characterized by deep disorders in both innate and adaptive immune systems that imply unbalance deactivation and immunosuppression. The central, widely recognized factors responsible for this immune dysregulation are uremia, uremic toxin retention, hemodialysis membrane biocompatibility, and related cardiovascular complications. Recently, several studies strengthened the concept that dialysis membranes are not considered as a simple diffusive/adsorptive device but as a platform to personalize a dialysis approach to improve the quality of life of ESRD patients. Therefore, understanding of the molecules associated with altered immune response is crucial and could lead to therapeutically intervention or adaptation of the dialysis procedure itself for the management of immunological dysfunction of ESRD patients. The polymethyl methacrylate (PMMA)-based membrane is characterized by a symmetrical structure with large-sized pores, providing a better hydrophobic and cationic adsorption capacity compared to the other synthetic membranes. Together with hydrophobic interactions, the high adsorption rate of cytokines (i.e., IL-6) can also be enhanced by the size of nano-pores placed on the membrane surface. PMMA membranes exhibit adsorptive properties for a large amount of uremic toxins including p-cresol and indoxyl sulfate, as well as β2-microglobulin characterized by higher molecular weight, maintaining the diffusive clearance of small molecules like urea with a great biocompatibility. Besides exerting a strong anti-inflammatory effects in line with the improvement of immune responses in patients undergoing dialysis, PMMA also plays a role in modulating adaptive immune response, i.e., can clear blood from soluble CD40, a natural antagonist of the CD40/CD40L signaling that acts inhibiting immunoglobulin production by B cells. This review provides an overview of the main concepts and current understanding of immune dysfunction in hemodialysis and summarizes the recent findings regarding PMMA-based dialysis as potential strategy to restore immune balance in ESRD patients.