Cognitive impairment is common in patients with heart failure and preserved ejection fraction but its clinical correlates and prognostic associations are poorly understood. We analyzed cognitive function, using the Mini-Mental State Examination (MMSE), in patients with heart failure and preserved ejection fraction enrolled in a prespecified substudy of the PARAGON-HF trial (Prospective Comparison of Angiotensin Receptor Neprilysin Inhibitor With Angiotensin Receptor Blocker Global Outcomes in Heart Failure With Preserved Ejection Fraction). Logistic regression analyses were performed to determine the variables associated with lower MMSE scores at baseline and postbaseline decline in MMSE scores at 48 weeks. Cox proportional hazards regression and semiparametric proportional rates models were used to examine the risk of clinical outcomes related to baseline MMSE scores, and decline in MMSE scores during follow-up, adjusted for prognostic variables including NT-proBNP (N-terminal pro-B-type natriuretic peptide). At baseline, cognitive function was normal (MMSE score 28-30) in 1809 of 2895 patients (62.5%), borderline (score 24-27) in 794 (27.4%), and impaired (score <24) in 292 (10.1%). Variables associated with both a lower MMSE score at baseline and a decline in score from baseline included older age, a history of stroke or transient ischemia attack, and lower serum albumin. Compared with those with baseline MMSE scores of 28 to 30, patients in the lower MMSE score categories had a stepwise increase in the risk of the composite of time to first HF hospitalization or cardiovascular death, with an adjusted hazard ratio of 1.27 (95% CI, 1.06-1.53) for those with scores of 24 to 27 and 1.58 (95% CI, 1.21-2.06) for those with scores <24, respectively. These associations were also found for the individual components of the composite and all-cause death. Likewise, cognitive impairment was associated with a 50% higher risk of total (first and repeat) heart failure hospitalizations and cardiovascular deaths. Examining the change in MMSE score from baseline, a decrease in MMSE score during follow-up was associated with a higher risk of death. In patients with heart failure and preserved ejection fraction, even modest baseline impairment of cognitive function was associated with worse outcomes, including death. A decline in MMSE score during follow-up was a strong predictor of mortality, independent of other prognostic variables.