Heart failure (HF) and depression are both major medical health issues in our society. Currently, an increasing number of studies demonstrate an association between HF and depression. The prevalence of depression is higher in patients with HF, and depression also increases the incidence of HF. Currently, depression has been listed as a major risk factor for heart disease. Patients with HF and comorbid depression have significantly higher rates of hospitalization and mortality, and clinical symptoms manifest as decreased activity tolerance and decreased muscle mass. Enhancement of the muscle function improves the prognosis of patients with HF and depression. Sarcopenia is defined as age-related loss of skeletal muscle mass plus loss of muscle strength and/or reduced physical performance, and its pathogenesis involves malnutrition, physical inactivity, endocrine disorders and chronic inflammation, which are also involved in the pathogenesis of HF with comorbid depression. Therefore, it would be intriguing to explore the linkage between HF, depression and sarcopenia. This review presents an overview of HF with comorbid depression and sarcopenia, elucidates the mechanisms involved in these disorders, and finally summarizes the treatment strategies of HF with comorbid depression and sarcopenia.