Cognitive impairment (CI) is a significant comorbidity in individuals with heart failure (HF). A substantial number of patients with HF may experience CI, which can present as deficits in attention, memory, executive function, and processing speed. HF patients with CI tend to have reduced functional independence, self-care capabilities, medication adherence and decision-making ability, along with more frequent rehospitalizations, and an increased risk of mortality. Currently, there is no established gold standard diagnostic tool or follow-up strategy for assessing CI in patients with HF. There has been an increasing recognition of the complex bidirectional relationship between HF and CI. However, the exact pathological mechanisms of CI in HF need further in-depth investigation. This review aims to explore the current epidemiological status of CI in patients with HF, the relationship between HF and cognitive dysfunction, the pathological mechanisms involved, as well as the early screening, diagnosis, and management issues for HF patients with CI. It also discusses prevention and intervention strategies. The objective is to provide a scientific basis for the clinical diagnosis, management, and treatment of CI in HF, while proposing future research directions to advance this field.