Background: The efficacy and safety of prostacyclin (PGI<sub>2</sub>) and citrate (ACD) anticoagulation were observed and compared during continuous haemodiafiltration. Methods: Mechanically ventilated patients received either the PGI<sub>2</sub> analogue epoprostenol (group A, n = 17) in escalating doses of 4.5–10.0 ng·kg<sup>–1</sup>·min<sup>–1</sup> in combination with heparin (6 IU·kg<sup>–1</sup>·h<sup>–1</sup>) or 2.2% ACD (group B, n = 15). Blood flow was set to match the circuit-filling volume per unit time equal to the intravascular half-life of PGI<sub>2</sub>. Results: Median filter lifetimes were 26 h (interquartile range 16–37) in group A (39 filters) and 36.5 h (interquartile range 23–50) in group B (56 filters; p < 0.01). In group A, 4 patients (23.5%, p < 0.05) had the dose reduced due to hypotension. The final mean dose of PGI<sub>2</sub> was 8.7 ± 2.4 ng·kg<sup>–1</sup>·min<sup>–1</sup>. Four patients in group A (23.5%, p < 0.05) were switched to ACD due to a decrease in platelet count. No bleeding episodes, decrease in platelet count or adverse haemodynamic effects were encountered in group B. The cost of epoprostenol plus low dose heparin (EUR 204.73 ± 53.04) was significantly higher than the cost of ACD-based anticoagulation (EUR 93.92 ± 45.2, p < 0.05). Conclusion: ACD offers longer filter survival, has no impact on platelet count and is less expensive. Increasing the dose of PGI<sub>2</sub> up to the average of 8.7 ng·kg<sup>–1</sup>·min<sup>–1</sup> did not increase the haemodynamic side effects.