Background: This study aimed to compare the independent and incremental prognostic value of peak oxygen consumption ( VO 2 ) and minute ventilation/carbon dioxide production ( VE / VCO 2 ) in heart failure ( HF ) with preserved ( HF p EF ), midrange ( HF m EF ), and reduced ( HF r EF ) ejection fraction ( LVEF ). Methods and Results: In 195 HF p EF ( LVEF ≥50%), 144 HF m EF ( LVEF 40–49%), and 630 HF r EF ( LVEF <40%) patients, we assessed the association of cardiopulmonary exercise testing variables with the composite outcome of death, left ventricular assist device implantation, or heart transplantation (256 events; median follow‐up of 4.2 years), and 2‐year incident HF hospitalization (244 events). In multivariable Cox regression analysis, greater association with outcomes in HF p EF than HF r EF were noted with peak VO 2 ( HR [95% confidence interval ]: 0.76 [0.67–0.87] versus 0.87 [0.83–0.90] for the composite outcome, P interaction =0.052; 0.77 [0.69–0.86] versus 0.92 [0.88–0.95], respectively for HF hospitalization, P interaction =0.003) and VE / VCO 2 slope (1.11 [1.06–1.17] versus 1.04 [1.03–1.06], respectively for the composite outcome, P interaction =0.012; 1.10 [1.05–1.15] versus 1.04 [1.03–1.06], respectively for HF hospitalization, P interaction =0.019). In HF m EF , peak VO 2 and VE / VCO 2 slope were associated with the composite outcome (0.79 [0.70–0.90] and 1.12 [1.05–1.19], respectively), while only peak VO 2 was related to HF hospitalization (0.81 [0.72–0.92]). In HF p EF and HF r EF , peak VO 2 and VE / VCO 2 slope provided incremental prognostic value beyond clinical variables based on the C‐statistic, net reclassification improvement, and integrated diagnostic improvement, with models containing both measures demonstrating the greatest incremental value. Conclusions: Both peak VO 2 and VE / VCO 2 slope provided incremental value beyond clinical characteristics and LVEF for predicting outcomes in HF p EF . Cardiopulmonary exercise testing variables provided greater risk discrimination in HF p EF than HF r EF .