Findings from randomized controlled trials examining the efficacy of therapy with erythropoiesis-stimulating agents (ESAs) to normalize hemoglobin levels in patients with chronic kidney disease or kidney failure have raised questions regarding the safety of this class of drugs. However, no trial to date has specifically assessed the safety of ESA-dosing algorithms used to achieve the lower hemoglobin targets typically using in clinical practice. Although a wealth of nonexperimental data is available for dialysis patients, analyses based on these data are more susceptible to confounding bias than randomized controlled trials. Conducting valid pharmacoepidemiologic studies of drug effects in hemodialysis patients is complicated by the extent of their comorbidities, frequent hospitalizations, various concomitant medications, and an exceedingly high mortality rate. The need for greater ESA doses for the treatment of anemia in sicker patients potentially and plausibly generates confounding by indication, the control of which is complicated by the presence of time-dependent confounding. Here, we describe sources of bias in nonexperimental studies of ESA therapy in hemodialysis patients and critically appraise analytical methods that may help minimize bias in such studies.