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Dialysis treatment has improved the survival of patients with kidney failure. However, the hospitalization and mortality rates remain alarmingly high, primarily due to incomplete uremic toxin elimination. High-volume hemodiafiltration (HDF) has emerged as a promising approach that significantly improves patient outcomes by effectively eliminating medium and large uremic toxins, which explains its increasing adoption, particularly in Europe and Japan. Interest in this therapy has grown following the findings of the recently published CONVINCE study, as well as the need to understand the mechanisms behind the benefits. This comprehensive review aims to enhance the scientific understanding by explaining the underlying physiological mechanisms that contribute to the positive effects of HDF in terms of short-term benefits, like hemodynamic tolerance and cardiovascular disease. Additionally, it explores the rationale behind the medium-term clinical benefits, including phosphorus removal, the modulation of inflammation and oxidative stress, anemia management, immune response modulation, nutritional effects, the mitigation of bone disorders, neuropathy relief, and amyloidosis reduction. This review also analyzes the impact of HDF on patient-reported outcomes and mortality. Considering the importance of applying personalized uremic toxin removal strategies tailored to the unique needs of each patient, high-volume HDF appears to be the most effective treatment to date for patients with renal failure. This justifies the need to prioritize its application in clinical practice, initially focusing on the groups with the greatest potential benefits and subsequently extending its use to a larger number of patients.