Diabetes mellitus and heart failure are two multifaceted entities characterised by high morbidity and mortality. Early epidemiological and prospective studies have observed the frequent co-existence of both conditions. Importantly, diabetes mellitus can precipitate or worsen heart failure due to the accumulation of advanced glycation end products, oxidative stress, inflammatory status impairment, decay of intracellular calcium, changes in microRNAs expression, not to mention atherosclerosis progression and coronary artery disease. Heart failure also impairs glucose metabolism through less well-known mechanisms. Attention must especially be given in the treatment as there are frequently adverse interactions between the two diseases and novel agents against diabetic cardiomyopathy are under investigation. As several missing links still exist in the connection between heart failure and diabetes mellitus we will review, in this article, the most recent data underlying the interaction of them and provide an overview of the most important clinical perspectives.