This study evaluated health-related quality of life (HRQOL) in a Spanish sample of chronic kidney disease patients (n = 90) undergoing different renal replacement therapies, considering the influence of treatment stressors, mood, anxiety and quality of sleep. While all patients had worse physical functioning than controls (p < .01), only those undergoing haemodialysis (HD) showed worse physical well-being, occupational functioning, spiritual fulfillment and more health interference with work (p < .05). They also obtained higher depression scores than renal transplant patients (TX) (p = .005). Those TX receiving the immunosuppressor sirolimus exhibited more cardiac/renal, cognitive and physical limitations than the rest (p < .05). Dialysis vintage correlated positively with sleep disturbances and depression scores and negatively with total Quality of Life (QLI) (p < .05). HD patients experienced more psychological distress than peritoneal dialysis patients (PD) (p = .036). Regression models including sleep, anxiety and depression were estimated for subscales of HRQOL. In TX patients, low depressive scores related to an optimal QLI in almost all subscales, while in HD patients they explained part of the variability in psychological well-being, interpersonal functioning and personal fulfillment. HD condition results in a QLI more distant to the standards of controls.