Background: Depression is common in chronic kidney disease (CKD) patients and associated with significant increase in morbidity and mortality. In recent years, a relationship between vitamin D deficiency and depression has been shown. The aim of this study is to investigate the relationship between 25-hydroxy (OH) vitamin D and depression in hemodialysis patients. Methods: A total of 140 patients were included in the study. Hamilton depression scale (HAM-D) was completed by all patients. 25(OH) vitamin D levels were compared between patients with and without depressive symptoms. Results: Patients who had depressive symptoms had significantly lower 25(OH) vitamin D levels (13.70 [24.3–8.25] vs. 18.20 [29.2–11.7] ng/mL, p = 0.016). HAM-D score showed significant association with gender (p = 0.011) and 25(OH) vitamin D level (p = 0.011). Univariate logistic regression analysis showed that males had lower risk of depression by a ratio of 61.1% (OR 0.389, p = 0.012) and vitamin D-deficient patients had 2.88 times greater risk of depression compared to non-deficient patients (OR 2.885, p = 0.013). Multivariate logistic regression analysis showed that males had 53.7% less risk of depression (OR 0.463, p = 0.046) and vitamin D-deficient patients had 2.39 times greater risk of depression (OR 2.397, p = 0.047). When evaluated by gender, univariate logistic regression analysis showed that 25(OH) vitamin D and other variables were not associated with depression in females (p > 0.05), while only vitamin D level had a significant effect on depression in males (OR 8.207, p = 0.008). Conclusions: We found a significant association between vitamin D level and depressive symptoms in hemodialysis patients. When analyzed according to gender, this association was found to stand independent of other variables only in males.