Depressive symptoms and physical frailty have been reported to be predictive of adverse outcomes in individuals with heart failure (HF). Depressive symptoms could be a predisposing factor of physical frailty in older adults. Despite the high prevalence of HF, few studies on the relationship between these two factors have been performed in older adults with HF. To identify the relationship between depressive symptoms and physical frailty in HF, 190 older adults with HF were recruited from an outpatient clinic at a tertiary hospital in South Korea. The prevalence of depressive symptoms and physical frailty in older adults with HF was 30% (n = 57) and 61.6% (n = 117), respectively. Multivariate logistic regression revealed that depressive symptoms most strongly increased the risk of physical frailty after adjusting for confounding factors. Early detection of depressive symptoms might be useful to identify the status of physical frailty at the illness trajectories of HF in older adults and for judicious allocation of disease management strategies.