Health-related quality of life (HRQoL) and sleep quality (SQ) were impaired in patients with end-stage renal disease (ESRD). The impairment of both HRQoL and SQ and being in a depressive mood were found to be associated with increased morbidity and mortality in dialysis patients. We aimed to investigate the association between SQ, HRQoL, and depression, and to define independent predictors of SQ and depression in peritoneal dialysis (PD) and hemodialysis (HD) patients. Ninety HD patients (41 females, 49 males with mean age 50 ± 15.7 years) and 64 PD patients (27 females, 37 males with mean age 52.4 ± 15.3 years) receiving renal replacement therapy for at least 3 months were screened for the assessment of SQ, HRQoL, and depression in this cross-sectional study. A modified postsleep inventory, Short Form of Medical Outcomes Study (SF-36) and Beck depression inventory (BDI) were applied to all patients for evaluating SQ, HRQoL, and depression, respectively. HD and PD patients had similar total SQ scores. Physical and mental component scale of HRQoL were found to be significantly higher in HD patients (p < 0.001). PD patients were found to be much more in depressive mood when compared with HD patients (p < 0.001). Independent predictors of depression in patients were mental component scale of HRQoL, gender (being female), and dialysis modality (being PD patient). Physical component scale was also found to be an independent predictor of SQ. This study showed that despite similar SQ scores between two groups, HD patients had better HRQoL and less depression than PD patients.