Objectives: The prevalence of cognitive frailty and its associated factors in older population with heart failure have not been extensively studied. We investigated the prevalence of cognitive frailty and its association with sleep duration and depression among older adults with heart failure. Methods: This secondary analysis used a cross-sectional sample with 168 older adults with heart failure from an academic tertiary care hospital in South Korea. Results: Cognitive frailty was found in 58 (34.5%) older adults with heart failure. Our main finding revealed that longer sleep durations of ≥ 8 h (adjusted odds ratio (OR) = 2.62, 95% confidence interval (CI) = 1.04–6.59) and depression (adjusted OR = 2.84, 95% CI = 1.22–6.61) predicted an increased risk of cognitive frailty. Conclusions: Early detection on changes in sleep patterns and depression can play a crucial role in reducing the risk of cognitive frailty in patients with heart failure. Longitudinal studies are needed to explore that sleep patterns and depression are both linked to greater risk of developing cognitive frailty among older adults with heart failure. Clinical Implications: Development of a validated instrument for cognitive frailty screening may be beneficial for older adults with heart failure to prevent adverse outcomes.