There is controversy regarding whether an incremental increase in hemoglobin levels is associated with improvements in health-related quality of life (HRQOL) in chronic kidney disease (CKD) patients treated with erythropoiesis-stimulating agents (ESAs). We hypothesized that HRQOL in anemic CKD patients has a multifactorial etiology, including the effects of anemia and inflammation. 69 non-dialysis CKD patients over 18 years of age with a mean estimated glomerular filtration rate (eGFR) of 43.7 ± 28.8 ml/min/1.73 m2 were divided into anemic and non-anemic cohorts. Kidney disease quality of life (KDQOL) was prospectively recorded using Short Form (SF)-36 components of KDQOL-SF-™ version 1.3 questionnaire. Inflammation was assessed by using a composite of interleukin (IL)-6, IL-8 and tumor necrosis factor (TNF)-α levels in the upper two quartiles. Anemic patients had significantly worse SF-36 components of KDQOL-SF-™ version 1.3, including SF-12 mental component (p = 0.02), role emotional (p = 0.002) and physical function (p = 0.01) compared to patients without anemia. However, in multiple linear regression models, adjusted for GFR, age, gender and inflammatory markers including C-reactive protein (CRP), albumin, ferritin, IL-6, IL-8 and TNF-α, anemia predicted mental components of SF-36 (SF-12 mental component (p = 0.02) and role emotional (p = 0.04)) but not physical components (SF-12 physical component (p > 0.05) and physical function (p > 0.05), supporting the multifactorial nature of reduced HRQOL in anemic patients. Reduced HRQOL in anemic patients is likely related to both anemic and inflammatory status. Prospective studies will be needed to evaluate whether modulating the inflammatory state independent of changes in the hemoglobin concentration improves physical components of HRQOL.