Depression is a significant health problem gaining increasing relevance, especially among children and adolescents. It is known that the incidence of depression is higher in patients suffering from chronic diseases, such as chronic kidney disease (CKD). This review aims to discuss the prevalence of depression in children and adolescents with CKD and its impact on the quality of life of these patients (HRQoL). The research was conducted using online databases with keywords: depression in children and adolescents, depression and chronic diseases, chronic kidney disease, and health-related quality of life. It was found that the risk for developing depression is higher for adolescents and females, and with the use of negative coping strategies, lack of caregiver nurturance, and poor socioeconomic status. In patients with pediatric CKD, the stage of the disease, age of CKD diagnosis, and type of treatment were found to significantly impact HRQoL and contribute to caregiver burden. Depression was more commonly found in children suffering from CKD. It causes significant mental distress to the child and contributes to the caregiver’s burden. Screening for depression among CKD patients is advised. In depressed patients, transdiagnostic tools should be used to alleviate some of the symptoms. In children at risk of developing depression, preventative strategies should be considered.