Background Whether coronary artery disease (CAD) is a significant risk factor for heart failure (HF) with preserved ejection fraction (HFpEF) is unclear. Methods and Results Among 9902 participants in the ARIC (Atherosclerosis Risk in Communities) study, we assessed the association of incident CAD with subsequent incident HFpEF (left ventricular ejection fraction [≥50%]) and HF with reduced ejection fraction (HFrEF; left ventricular ejection fraction <50%) using survival models with time‐updated variables. We also assessed the extent to which echocardiographic correlates of prevalent CAD account for the relationship between CAD and incident HFpEF. Over 13‐year follow‐up, incident CAD developed in 892 participants and 178 subsequently developed HF (86 HFrEF, 71 HFpEF). Incident HFrEF and HFpEF risk were both greatest early after the CAD event. At >1 year post‐CAD event, adjusted incidence of HFrEF and HFpEF were similar (7.2 [95% CI, 5.2–10.0] and 6.7 [4.8–9.2] per 1000 person‐years, respectively) and CAD remained predictive of both (HFrEF: hazard ratio, 2.76 [95% CI, 1.99–3.84]; HFpEF: 1.85 [1.35–2.54]) after adjusting for demographics and common comorbidities. Among 4779 HF‐free participants at Visit 5 (2011–2013), the 490 with prevalent CAD had lower left ventricular ejection fraction and higher left ventricular mass index, E/e’, and left atrial volume index (all P <0.01). The association of prevalent CAD with incident HFpEF post‐Visit 5 was not significant after adjusting for echocardiographic measures, with the greatest attenuation observed for left ventricular diastolic function. Conclusions CAD is a significant risk factor for incident HFpEF after adjustment for demographics and common comorbidities. This relationship is partially accounted for by echocardiographic alterations, particularly left ventricular diastolic function.