This study was aimed to examine the moderated mediating effects of exercise self-efficacy and fear of movement on the relationship between fatigue and quality of life in patients with heart failure. A total of 305 patients with heart failure were enrolled in this cross-sectional study. The results showed that fear of movement significantly mediated the relationship between fatigue and quality of life, indicating that relieving fear of movement may be beneficial to improve quality of life. Furthermore, exercise self-efficacy negatively moderated the mediating effect of fear of movement on the relationship between fatigue and physical health-related quality of life. It is suggesting that improving exercise self-efficacy may provide opportunities to buffer the negative effect of fear of movement on physical health-related quality of life in patients with heart failure, especially for those with fatigue. The findings provide additional strategies to optimize quality of life management in patients with heart failure.