Depression is a frequent and debilitating comorbidity that affects heart failure (HF) patients. Up to 30% of HF patients suffer from depression and even more have depressive symptoms. Moreover, depression carries a risk for HF, especially in high‐risk groups, and is significantly associated with worse quality of life and clinical outcomes. The pathophysiology of depression and HF is poorly understood, but both diseases share several mechanisms and risk factors, including dysregulation of platelet reactivity, inflammation, neuroendocrine function, arrhythmias, high‐risk behaviours, and social factors. Current HF guidelines advise to screen HF patients for depression and several screening questionnaires are available. Ultimately, the diagnosis of depression is based on DSM‐5 criteria. Depression treatment consists of non‐pharmacological and pharmacological therapies. Non‐pharmacological therapies, such as exercise training and cognitive‐behavioural therapy, have been shown to have beneficial effects on depressive symptoms. Selective serotonin reuptake inhibitors, the mainstay of antidepressant therapy, appear to be safe in HF but have not shown superiority over placebo in HF in short‐ and long‐term randomized clinical trials. New therapies to treat depression are under investigation and may offer the opportunity to improve depression management in HF, including N‐methyl‐D‐aspartate receptor antagonists, repetitive transcranial magnetic stimulation and omega‐3 supplementation. New technologies may offer several advantages for the screening and diagnosis of depression but they remain to be tested in future research. In this review, we examine the intersection of depression and HF, summarize the epidemiology and pathophysiology, and discuss new opportunities to diagnose and treat HF patients with depression.