Heart failure (HF) is often accompanied by cognitive impairment (CI). Brain‐derived neurotrophic factor (BDNF) deficiency is closely associated with CI. However, the role and mechanism of BDNF in HF with CI is still not fully understood. Here, the case–control study was designed including 25 HF without CI patients (HF‐NCI) and 50 HF with CI patients (HF‐CI) to investigate the predictive value of BDNF in HF‐CI while animal and cell experiments were used for mechanism research. Results found that BDNF levels in serum neuronal‐derived exosomes were downregulated in HF‐CI patients. There was no significant difference in serum BDNF levels among the two groups. HF rats showed obvious impairment in learning and memory; also, they had reduced thickness and length of postsynaptic density (PSD) and increased synaptic cleft width. Expression of BDNF, TrkB, PSD95, and VGLUT1 was significantly decreased in HF rats brain. In addition, compared with sham rats, amino acids were significantly reduced with no changes in the acetylcholine and monoamine neurotransmitters. Further examination showed that the number of synaptic bifurcations and the expression of BDNF, TrkB, PSD95, and VGLUT1 were all decreased in the neurons that interfered with BDNF‐siRNA compared with those in the negative control neurons. Together, our results demonstrated that neuronal‐derived exosomal BDNF act as effective biomarkers for prediction of HF‐CI. The decrease of BDNF in the brain triggers synaptic structural damage and a decline in amino acid neurotransmitters via the BDNF–TrkB‐PSD95/VGLUT1 pathway. This discovery unveils a novel pathological mechanism underlying cognitive impairment following heart failure.