Introduction: Patients with cancer admitted to critical care units are at increased risk of being affected with acute kidney injury (AKI) and mortality. Sustained low-efficiency dialysis (SLED) combines the cardiovascular stability of continuous therapy with the operational facility of conventional hemodialysis (HD). Citrate has become an alternative to heparin in anticoagulation because it favors the maintenance of filter patency and reduces bleeding. We analyzed the efficacy and safety of citrate versus heparin use in extended HD for patients with cancer and AKI. Methods: This retrospective cohort study evaluated patients with cancer and dialytic AKI who received SLED with anticoagulation using citrate versus heparin from January 2014 to June 2017. After stratifying patients by the type of anticoagulation received, we evaluated demographic and clinical data, plus SLED session characteristics. We also analyzed dialysis outcomes, including insufficient session time, hypotension, poor catheter flow, line inversion, and dialysis system coagulation. Results: We identified 423 SLED sessions among 124 patients (41 patients in the heparin group and 83 patients in the citrate group). More sessions with citrate (26.6 vs. 40.9%, p < 0.001) had serum platelet concentrations <50,000/mm³ or <100,000/m³ and ionic calcium (Ca⁺⁺) values <1.16 mmol/L (33.2 vs. 18.5%, p < 0.001). Dialysis intercurrence occurred in 27% of sessions. The highest odds were associated with heparin sessions (OR 2.88). Compared with the citrate group, the heparin group was subject to more dialysis system coagulation (12.3%), the need for line reversal (9.8%), and insufficient session time (23.9%). Conclusion: Citrate represents a safe and effective anticoagulant for SLED for cancer patients with AKI undergoing treatment in the intensive care unit.