As long as you stack your triggers correctly this will work. Two important things to remember here are that when you have multiple triggers that would be put on the stack at the same time you get to choose what order the ones you control go on the stack, and Deathrender's ability doesn't require you to choose a creature until the ability is resolving.
When the creatures Deathrender is equipped to dies two triggers will go on the stack, Athreos's and Deathrender's. Since you control both permanents you get to decide which order they go on the stack. To get the desired result, since the stack works in a Last In First Out method we need to put the Deathrender's ability on the stack first so it will resolve last, and Aethreos's ability above it.
What happens will be this:
1. Aethreos's trigger
2. Deathrender's trigger
When Aethreos's trigger resolves you opponent chooses to have the creature return to your hand. Then when Deathrender's trigger resolves since the creature is in your hand it is a valid option to choose with the ability.
603.3b If multiple abilities have triggered since the last time a player received priority, each player, in APNAP order, puts triggered abilities he or she controls on the stack in any order he or she chooses.
608.2d If an effect of a spell or ability offers any choices other than choices already made as part of casting the spell, activating the ability, or otherwise putting the spell or ability on the stack, the player announces these while applying the effect.