Anemia is a common complication in chronic kidney disease (CKD) patients receiving hemodialysis. The effect of high-flux dialysis (HFD) on anemia remains unclear. This prospective study aimed to evaluate the effect of HFD on anemia, and the potential of soluble transferrin receptor (sTfR) as a marker of iron status and erythropoiesis in CKD patients on hemodialysis. Forty patients, who switched from conventional low-flux dialysis to HFD for 12 months, were enrolled in this study. The levels of sTfR, hemoglobin (Hb), iron, and nutritional markers, as well as the dose of recombinant human erythropoietin (rhEPO) and use of chalybeate were determined at 0, 2, 6, and 12 months after starting HFD. HFD significantly increased the hemoglobin level and reduced sTfR level in CKD patients (p < 0.05). In addition, significant decreasing linear trends were observed for rhEPO dosage and chalybeate use (p < 0.05). The level of sTfR was positively correlated with the percentage of reticulocytes (RET%), rhEPO dose, and chalybeate use, while it was negatively correlated with Hb levels and total iron-binding capacity results (all p < 0.05). A univariate generalized estimating equation (GEE) model showed that the Hb level, RET%, rhEPO dose, and chalybeate use were the variables associated with sTfR levels. A multivariate GEE model showed that the time points when hemodialysis was performed were the variables associated significantly with sTfR levels. Overall, our findings suggest that HFD can effectively improve renal anemia in hemodialysis patients, and sTfR could be used as a marker of erythropoiesis in HFD patients.