Introduction Anxiety and depression are prevalent psychological issues among hemodialysis patients, adversely affecting their well-being and treatment response. The study aims to identify the relationship between these mental health concerns and hyperparathyroidism in chronic hemodialysis patients from the Al Baha Region, Kingdom of Saudi Arabia. Methods This retrospective study included 143 chronic hemodialysis patients aged 18-85 years. Monthly laboratory records for parathyroid hormone (PTH) levels and the Hospital Anxiety and Depression Scale (HADS) for mental health assessment were utilized. Demographic information and the primary causes of end-stage renal disease were obtained through patient interviews. Statistical analyses, including chi-square tests, odds ratio, and significance tests, were performed to assess associations. Results Elevated PTH levels were associated with increased anxiety and depression in hemodialysis patients. Patients with PTH levels >400 pg/ml exhibited higher rates of abnormal HADS scores for anxiety and depression than those with PTH levels <400 pg/ml. Gender differences were evident, with women showing a higher predisposition to anxiety disorders and men having depression. Additionally, patients with PTH levels <150 pg/ml had a significantly higher proportion of the "normal" depression score than those with PTH levels >800 pg/ml. Conclusion The study underscores the association between hyperparathyroidism and adverse mental health outcomes in chronic hemodialysis patients. Maintaining optimal PTH levels plays a crucial role in mitigating anxiety and depression. Gender differences in mental health outcomes highlight the need for tailored interventions. Routine mental health assessments, utilizing tools such as the HADS, are important in the comprehensive care of hemodialysis patients.