Objective: Depression is common in heart failure (HF) and associated with reduced cognitive function. The current study used Structrual Equation Modeling to examine whether depression adversely impacts cognitive function in HF through its adverse affects on exercise adherence and cardiovascular fitness. Method: 158 HF patients completed neuropsychological testing, physical fitness test, Beck Depression Inventory-II (BDI-II), and measures assessing exercise adherence and physical exertion. Results: The model demonstrated excellent model fit and increased scores on the BDI-II negatively affected exercise adherence and cardiovascular fitness. There was a strong inverse association between cardiovascular fitness and cognitive function. Sobel test showed a significant indirect pathway between the BDI-II and cognitive function through cardiovascular fitness. Discussion: This study suggests depression in HF may adversely impact cognitive function through reduced cardiovascular fitness. Prospective studies are needed to determine whether treatment of depression can lead to better lifestyle behaviors and ultimately improve neurocognitive outcomes in HF.