Background: Depression is a common comorbidity in heart failure (HF) and has been shown to negatively impact clinical outcomes. NT-proBNP is a biomarker of myocardial stress, commonly elevated in HF patients, and its levels are associated with disease severity and prognosis. This study aimed to explore the relationship between depressive symptoms, NT-proBNP levels, and health outcomes in heart failure patients. Methods: This prospective cohort study included 200 heart failure patients, of whom 90 were classified as depressed (PHQ-9 ≥10) and 110 as non-depressed (PHQ-9 <10). Baseline demographic data, NT-proBNP levels, and depression severity were collected. Health outcomes, including hospitalization, mortality, quality of life (KCCQ), and functional status (6MWT), were assessed at baseline and at 12 months. Multivariate regression analysis was performed to evaluate the independent impact of depression and NT-proBNP on health outcomes. Results: Depressed patients had significantly higher NT-proBNP levels (1,050.3 ± 654.2 pg/mL) compared to non-depressed patients (540.2 ± 297.8 pg/mL, p < 0.001). Depression and elevated NT-proBNP levels were both independently associated with poorer health outcomes. Depressed patients had higher rates of hospitalization (48% vs. 25%, p < 0.01) and mortality (12% vs. 3%, p = 0.03). Additionally, depressed patients had significantly worse quality of life (KCCQ: 42.6 ± 16.7 vs. 63.4 ± 17.2, p < 0.001) and functional status (6MWT: 235.0 ± 68.3 vs. 315.2 ± 82.1 meters, p < 0.001). Multivariate regression analysis revealed that both depression and NT-proBNP >800 pg/mL independently predicted adverse outcomes, including increased hospitalization (OR: 2.35, p = 0.02), mortality (OR: 2.25, p = 0.04), and worse quality of life (KCCQ: -12.8 points, p < 0.001). Conclusions: Depression is significantly associated with elevated NT-proBNP levels and worse health outcomes in heart failure patients. The findings highlight the importance of addressing both psychological and physiological factors in the management of heart failure to improve patient outcomes. Further research is needed to better understand the mechanisms linking depression, NT-proBNP, and heart failure prognosis.