Cardiovascular disease is a significant complication in chronic kidney disease (CKD) and a major cause of death in dialysis patients. Clinical studies have shown that anemia is associated with reduced survival in patients undergoing chronic hemodialysis. Furthermore, an association between anemia and adverse cardiovascular outcomes has also been observed in patients with earlier stages of CKD not yet requiring dialysis. Although this fact still remains controversial, high-efficiency on-line hemodiafiltration (HDF) has been shown to improve anemia and to reduce the need for erythropoietin-stimulating agents in hemodialysis (HD) patients. This positive effect has been attributed to the fact that the convective methods might remove some protein-bound erythropoietic inhibitor substances. Moreover, in HD patients, renal anemia is linked to the inflammatory state of uremic syndrome. It is also worth nothing that the improvement in anemia is associated with a reduced inflammatory state in patients undergoing on-line HDF. Here, we have reviewed the current knowledge of the effect of dialysis technique on renal anemia.