During the COVID-19 pandemic, it is essential to evaluate hemodialysis patients’ dietary knowledge, especially among those with COVID-19 related symptoms, in order to identify appropriate strategies in managing their mental health. The study’s purposes were to test the psychometric properties of the hemodialysis dietary knowledge (HDK) scale, and to investigate the modifying impact of HDK on the associations of suspected COVID-19 symptoms (S-COVID-19-S) with anxiety and depression among hemodialysis patients. A cross-sectional study was conducted from July 2020 to March 2021 at eight hospitals across Vietnam. Data of 875 hemodialysis patients were analyzed, including socio-demographic, anxiety (the generalized anxiety disorder scale, GAD-7), depression (the patient health questionnaire, PHQ-9), S-COVID-19-S, HDK, health literacy, and digital healthy diet literacy. Confirmatory factor analysis (CFA) and logistic regression models were used to analyze the data. The HDK scale demonstrates the satisfactory construct validity with good model fit (Goodness of Fit Index, GFI = 0.96; Adjusted Goodness of Fit Index, AGFI = 0.90; Standardized Root Mean Square Residual, SRMR = 0.05; Root Mean Square Error of Approximation, RMSEA = 0.09; Normed Fit Index, NFI = 0.96; Comparative Fit Index, CFI = 0.96, and Parsimony goodness of Fit Index, PGFI = 0.43), criterion validity (as correlated with HL (r = 0.22, p < 0.01) and DDL (r = 0.19, p < 0.01), and reliability (Cronbach alpha = 0.70)). In the multivariate analysis, S-COVID-19-S was associated with a higher likelihood of anxiety (odds ratio, OR, 20.76; 95% confidence interval, 95%CI, 8.85, 48.70; p < 0.001) and depression (OR, 12.95; 95%CI, 6.67, 25.14, p < 0.001). A higher HDK score was associated with a lower likelihood of anxiety (OR, 0.70; 95%CI, 0.64, 0.77; p < 0.001) and depression (OR, 0.72; 95%CI, 0.66, 0.79; p < 0.001). In the interaction analysis, the negative impacts of S-COVID-19-S on anxiety and depression were mitigated by higher HDK scores (p < 0.001). In conclusion, HDK is a valid and reliable tool to measure dietary knowledge in hemodialysis patients. Higher HDK scores potentially protect patients with S-COVID-19-S from anxiety and depression during the pandemic.