Background: Atrial fibrillation (AF) is a common cardiac arrhythmia that is associated with an increased risk of major adverse cardiovascular events (MACE). The main goal was to analyze the links and associations between AF and MACE. Methods: A multicenter, observational, retrospective, community-based study of a cohort (n = 40,297) of the general population aged 65–95 years between 1 January 2015 and 31 December 2021 without a previous diagnosis of AF or MACE in the Primary Care setting. Results: 2574 people (6.39%) developed a first AF event, resulting in an overall incidence of 8.9/1000 people-years [CI95% 8.6–9.2]. The incidence of MACE among those with AF was 75.1/1000 people-years [CI95% 70.8–79.5], whereas among those without AF, it was 20.6/1000 people-years [CI 95% 20.2–21.1], resulting in a rate ratio of 3.65 [CI 95% 3.43–3.88, p < 0.001]. Besides, the incidence of HF with AF was 40.1 people-years [CI 95% 37.1–43.2], while in the group without AF, it was 8.3 people-years [CI 95% 7.9–8.6, p < 0.001], with a rate ratio of 4.85 [CI 95% 4.45–55.3, p < 0.001]. Before an AF diagnosis, there is already a higher risk of chronic kidney disease, ischemic cardiopathy, and peripheral artery disease. A higher risk of poor nutritional status was detected among those with MACE (49.7% vs. 26.6%, p < 0.001). Conclusions: AF diagnosis increases the incidence of heart failure fourfold. Additional information is required to establish the connection between AF, major adverse cardiovascular events, and nutritional status.