Depression is a common comorbid condition in heart failure, and there is growing evidence that it increases the risks of mortality and other adverse outcomes, including rehospitalization and functional decline. The prognostic value of depression depends, in part, on how it is defined and measured. The few studies that have compared different subsets of patients with depression suggest that major (or severe) depression is a stronger predictor of mortality than is minor (or mild) depression. Whether depression is a causal risk factor for heart failure mortality, or simply a risk marker, has not yet been established, but mechanistic research has identified several plausible behavioral and biologic pathways. Further research is needed to clarify the relationships among depression, heart failure, and adverse outcomes, as well as to develop efficacious interventions for depressive disorders in patients with heart failure.