Depression increases the risk of mortality in patients with heart failure (HF). Less is known about whether depression predicts multiple readmissions or whether multiple hospitalizations worsen depression in patients with HF. This study aimed to test the hypotheses that depression predicts multiple readmissions in patients hospitalized with HF, and conversely that multiple readmissions predict persistent or worsening depression. All-cause readmissions were ascertained over a 2-year follow-up of a cohort of 400 patients hospitalized with HF. The Patient Health Questionnaire-9 was used to assess depression at index and 3-month intervals. At enrollment in the study, 21% of the patients were mildly depressed and 22% were severely depressed. Higher Patient Health Questionnaire-9 depression scores predicted a higher rate of readmissions (adjusted hazard ratio 1.02, 95% confidence interval 1.00 to 1.04, p = 0.03). The readmission rate was higher in those who were severely depressed than in those without depression (p = 0.0003), but it did not differ between patients who were mildly depressed and patients without depression. Multiple readmissions did not predict persistent or worsening depression, but younger patients in higher New York Heart Association classes were more depressed than other patients. Depression is an independent risk factor for multiple all-cause readmissions in patients hospitalized with HF. Severe depression is a treatable psychiatric co-morbidity that warrants ongoing clinical attention in patients with HF.