Heart failure (HF) and type 2 diabetes mellitus (T2DM) have a synergistic effect on cardiovascular (CV) morbidity and mortality in patients with established CV disease (CVD). The aim of this review is to summarize the knowledge regarding the discriminative abilities of conventional and novel biomarkers in T2DM patients with established HF or at higher risk of developing HF. While conventional biomarkers, such as natriuretic peptides and high-sensitivity troponins demonstrate high predictive ability in HF with reduced ejection fraction (HFrEF), this is not the case for HF with preserved ejection fraction (HFpEF). HFpEF is a heterogeneous disease with a high variability of CVD and conventional risk factors including T2DM, hypertension, renal disease, older age, and female sex; therefore, the extrapolation of predictive abilities of traditional biomarkers on this population is constrained. New biomarker-based approaches are disputed to be sufficient for improving risk stratification and the prediction of poor clinical outcomes in patients with HFpEF. Novel biomarkers of biomechanical stress, fibrosis, inflammation, oxidative stress, and collagen turn-over have shown potential benefits in determining prognosis in T2DM patients with HF regardless of natriuretic peptides, but their role in point-to-care and in routine practice requires elucidation in large clinical trials.