Heart failure (HF) is challenging public medical and healthcare systems. This study aimed to develop and validate a novel deep learning-based prognostic model to predict the risk of all-cause mortality for patients with HF. We also compared the performance of the proposed model with those of classical deep learning- and traditional statistical-based models. The present study enrolled 730 patients with HF hospitalized at Toho University Ohashi Medical Center between April 2016 and March 2020. A recurrent neural network-based model (RNNSurv) involving time-varying covariates was developed and validated. The proposed RNNSurv showed better prediction performance than those of a deep feed-forward neural network-based model (referred as “DeepSurv”) and a multivariate Cox proportional hazard model in view of discrimination (C-index: 0.839 vs. 0.755 vs. 0.762, respectively), calibration (better fit with a 45-degree line), and ability of risk stratification, especially identifying patients with high risk of mortality. The proposed RNNSurv demonstrated an improved prediction performance in consideration of temporal information from time-varying covariates that could assist clinical decision-making. Additionally, this study found that significant risk and protective factors of mortality were specific to risk levels, highlighting the demand for an individual-specific clinical strategy instead of a uniform one for all patients.