Cardiovascular (CV) disease is the main cause of death in peritoneal dialysis (PD) patients, but the mechanisms mediating the increased CV risk observed in this group of patients are still largely unknown, which limits the perspective on effective therapeutic strategies. Patients on PD are already exposed to a number of traditional risk factors from the start of their chronic kidney disease (CKD), because many of those risk factors are common to CV disease and CKD alike. As renal dysfunction progresses, CKD-related risk factors are introduced, changing the profile of both the CV disease and the markers of risk. In this phase, which usually starts when glomerular filtration rate falls below 60 mL/min, the list of risk factors is expanded to include disturbances of mineral metabolism, anemia, fluid overload, uremic toxicity, and increased signs of oxidative stress and inflammation. Although many of the risk factors linked to CV burden are not related to the dialytic procedure, additional harm is introduced after the initiation of PD—with, for example, the presence of chronic infections and factors related to PD fluids, particularly reabsorption of glucose. In the present article, we review the impact of the novel risk factors introduced with the initiation of PD therapy, and we propose potential therapeutic strategies (which remain to be tested) for reducing CV mortality in this group of patients.