Heart failure (HF) is associated with multiple organ dysfunction and many comorbidities. Its incidence is high among the elderly and is a major health burden worldwide. Cognitive impairment (CI) is highly prevalent in older patients with HF, which is an abnormality in one or more of the items of cognition, attention, memory, language, psychomotor function, and visual spatial acuity. Studies have shown that the incidence of CI in HF patients is between 13 and 54%, and patients with both conditions have poor self-care ability and prognosis, as well as increased mortality rates. However, the mechanisms of CI development in HF patients are still unclear. In this review, we describe the epidemiology and risk factors as well as measures of improving CI in HF patients. We update the latest pathophysiological mechanisms related to the neurocognitive changes in HF patients, expounding on the mechanisms associated with the development of CI in HF patients.