Malnutrition is highly prevalent in patients with acute kidney injury, especially in those receiving renal replacement therapy (RRT). For the assessment of nutritional status, a combination of screening tools, anthropometry, and laboratory parameters is recommended rather than a single test. To avoid underfeeding and overfeeding during RRT, energy expenditure should be measured by indirect calorimetry or calculated using predictive equations. Nitrogen balance should be periodically measured to assess the degree of catabolism and to evaluate protein intake. However, there is limited data for nutritional targets specifically for patients on RRT, such as protein intake. The composition of commercial solutions for continuous renal replacement therapy (CRRT) varies. CRRT itself can be associated with both, nutrient losses into the effluent fluid and caloric gain from dextrose, lactate, and citrate. The role of micronutrient supplementation, and potential use of micronutrient enriched CRRT solutions in this setting is unknown, too. This review provides an overview of existing knowledge and uncertainties related to nutritional aspects in patients on CRRT and emphasizes the need for more research in this area.