Background Depression is a severe comorbidity that is often detected in patients with chronic diseases. Poor prognosis may eventuate high mortality risk. Up to 30% of heart failure patients have been documented with depression and the majority upholds depression-related symptoms that may have serious clinical implications, such as hospital readmissions and fatalities. To mitigate depression-induced harms among heart failure patients, studies are being conducted to determine the prevalence, risk factors, and interventions. Objectives The current investigation is envisioned to examine the prevalence of depression and anxiety among the Saudi heart failure population. Also, it will help to explore the risk factors that will subsequently facilitate the analysis of preventive measures. Methodology The cross-sectional epidemiologic research was conducted at King Khalid University, Hospital with the recruitment of 205 participants. Each participant underwent a 30-question screening for depression, anxiety, and related risk factors. The "Hospital, Anxiety, and Depression Scale" (HADSscore) was used to score subjects for the assessment of both comorbidities. The data points were subsequently analyzed by descriptive statistics and regression analysis. Results Among 205 participants, 137 (66.82%) were male and 68 (33.17%) were female with a mean age of 59.71 years. Our sample reflects a prevalence of 52.7% depression and 56.9% anxiety in Saudi heart failure patients. High depression scores were positively related to age, female gender, hospital readmissions, and pre-existing comorbidities in heart failure patients. Conclusion The study manifested high depression scores among the Saudi heart failure cohort compared to the previous survey. In addition, a substantial interrelationship of depression and categorical variables has been identified that accentuates predominating risks that can potentially promote depression and anxiety in heart failure patients.