Persons with heart failure (HF) frequently exhibit cognitive impairment with deficits in attention and memory. Depression is common in HF though its possible contribution to cognitive impairment is unknown. Cognitive dysfunction and depression may share common mechanisms in HF, as both are associated with similar abnormalities on neuroimaging. A total of 116 participants with HF (68.53 ± 9.30 years) completed a neuropsychological battery and self-report measures of depression. Regression models showed depression incrementally and independently predicted test performance in all cognitive domains. Follow-up partial correlations revealed that greater depressive symptoms were associated with poorer performance on tests of attention, executive function, psychomotor speed, and language. These results indicate that depressive symptoms are associated with poorer cognitive performance in HF though further work is needed to clarify mechanisms for this association and possible cognitive benefits of treating depression in persons with HF.