Background: A nutritional status is related to the prognosis and length of hospitalisation of patients with heart failure (HF). This study aims to assess the effect of nutritional status on in-hospital mortality in patients with heart failure. Methods: We conducted a retrospective study and analysis of medical records of 1056 patients admitted to the cardiology department of the University Clinical Hospital in Wroclaw (Poland). Results: A total of 1056 individuals were included in the analysis. A total of 5.5% of patients died during an in-hospital stay. It was found that in the sample group, 25% of patients who died had a BMI (body mass index) within the normal range, 6% were underweight, 47% were overweight, and 22% were obese. Our results show that non-survivors have a significantly higher nutrition risk screening (NRS) ≥3 (21% vs. 3%; p < 0.001); NYHA (New York Heart Association) grade 4 (70% vs. 24%; p < 0.001). The risk of death was lower in obese patients (HR = 0.51; p = 0.028) and those with LDL (low-density lipoprotein) levels from 116 to <190 mg/dL (HR = 0.10; p = 0.009, compared to those with LDL <55 mg/dL). The risk of death was higher in those with NRS (nutritional risk score) score ≥3 (HR = 2.31; p = 0.014), HFmrEF fraction (HR = 4.69; p < 0.001), and LDL levels > 190 mg/dL (HR = 3.20; p = 0.038). Conclusion: The malnutrition status correlates with an increased risk of death during hospitalisation. Higher TC (total cholesterol) level were related to a lower risk of death, which may indicate the “lipid paradox”. Higher BMI results were related to a lower risk of death, which may indicate the “obesity paradox”.