Background Depressive symptoms are associated with heightened risk of heart failure (HF), but their association with cardiac function and with HF with preserved ejection fraction (HFpEF) and HF with reduced ejection fraction (HFrEF) in late life is unclear. We aimed to determine the prevalence of depression in HFpEF and in HFrEF in late life, and the association of depressive symptoms with cardiac function and incident HFpEF and HFrEF. Methods and Results We studied 6025 participants (age, 75.3±5.1 years; 59% women; 20% Black race) in the ARIC (Atherosclerosis Risk in Communities) study at visit 5 who underwent echocardiography and completed the Center for Epidemiologic Studies Depression Scale questionnaire. Among HF‐free participants (n=5086), associations of Center for Epidemiologic Studies Depression Scale score with echocardiography and incident adjudicated HFpEF and HFrEF were assessed using multivariable linear and Cox proportional hazards regression. Prevalent HFpEF, but not HFrEF, was associated with a higher prevalence of depression compared with HF‐free participants ( P <0.001 and P =0.59, respectively). Among HF‐free participants, Center for Epidemiologic Studies Depression Scale score was not associated with cardiac structure and function after adjusting for demographics and comorbidities (all P >0.05). Over 5.5‐year follow‐up, higher Center for Epidemiologic Studies Depression Scale score was associated with heightened risk of incident HFpEF (hazard ratio [HR] [95% CI], 1.06 [1.04–1.12]; P =0.02), but not HFrEF (HR [95% CI], 1.02 [0.96–1.08]; P =0.54), independent of echocardiographic measures, NT‐proBNP (N‐terminal pro‐B‐type natriuretic peptide), troponin, and hs‐CRP (high‐sensitivity C‐reactive protein) (HR [95% CI], 1.06 [1.00–1.12]; P =0.04). Conclusions Worse depressive symptoms predict incident HFpEF in late life, independent of common comorbidities, cardiac structure and function, and prognostic biomarkers. Further studies are necessary to understand the mechanisms linking depression to risk of HFpEF.