Objectives Psychological treatment of depression in end‐stage renal disease (ESRD) has focused on severely depressed patients. We designed and tested a brief (5 weeks) cognitive behavioural intervention (CBI) to reduce mild and moderate depression and anxiety symptoms in patients with ESRD. Design For the purpose of this study, a single‐blind, randomized controlled design was used to compare patients with ESRD under haemodialysis treatment with and without the CBI. Methods Depression and anxiety symptoms were screened in 152 subjects (18–60 years old, 84 male). Sixty participants (age 41.8 ± 14.7, 29 males) with mild or moderate scores of depression (Beck Depression Inventory) and anxiety (Beck Anxiety Inventory) were randomly assigned to CBI or the control group. CBI techniques consisted of positive self‐reinforcement, deep breathing, muscle relaxation, and cognitive restructuring. Depression, anxiety, quality of life (QoL), and cognitive distortion scores were evaluated at baseline, after 5 weeks (end of treatment) and after 4‐week follow‐up. All scores were compared by ANOVA for repeated measures with post‐hoc tests adjusted by Bonferroni's method (p < .05 was considered significant). Results At follow‐up, depression, anxiety, and cognitive distortions had decreased, and QoL had increased in the intervention group, and there were no changes in the control group. Clinical utility was 33% for depression and 43% for anxiety. Conclusions A brief CBI of 5 weeks is effective for decreasing mild or moderate depression and anxiety symptoms and improving QoL in ESRD haemodialysis patients. Practitioner points A brief, systematic and structured cognitive behavioural intervention (CBI) decreases anxiety and depression symptoms and improves quality of life in patients with end‐stage renal disease (ESRD) who are being treated with haemodialysis. These benefits are not achieved when anxiety and depression symptoms are identified but not treated psychologically. This CBI consisted of cognitive restructuring of the distorted thoughts (perfectionism, catastrophic thinking, negative self‐labelling, and dichotomous thinking) that are correlated with depression and anxiety symptoms and that can be assessed by a validated questionnaire designed for patients with ESRD. The handbooks that were developed for this study are structured and systematic. They could be valuable in supporting the efforts and participation of non‐specialized health professionals in CBI such as nurses, physicians, social workers, and psychologists, raising the possibility of further application in a variety of clinical populations. Both the therapy and the client workbooks are available in Spanish upon request.