Abstract Aims An increasing proportion of patients with heart failure with reduced ejection fraction (HFrEF) have co‐morbidities. The effect of these co‐morbidities on modes of death and the effect of disease‐modifying agents in multi‐morbid patients is unknown. Methods and results We performed a prospective cohort study of ambulatory patients with HFrEF to assess predictors of outcomes. We identified four key co‐morbidities—ischaemic aetiology of heart failure, diabetes mellitus, chronic obstructive pulmonary disease (COPD), and chronic kidney disease (CKD)—that were highly prevalent and associated with an increased risk of all‐cause mortality. We used these data to explore modes of death and the utilization of disease‐modifying agents in patients with and without these co‐morbidities. The cohort included 1789 consecutively recruited patients who had an average age of 69.6 ± 12.5 years, and 1307 (73%) were male. Ischaemic aetiology of heart failure was the most common co‐morbidity, occurring in 1061 (59%) patients; 503 (28%) patients had diabetes mellitus, 283 (16%) had COPD, and 140 (8%) had CKD stage IV/V. During mean follow‐up of 3.8 ± 1.6 years, 737 (41.5%) patients died, classified as progressive heart failure (n = 227, 32%), sudden (n = 112, 16%), and non‐cardiovascular deaths (n = 314, 44%). Multi‐morbid patients were older (P 2.5‐fold and 1.5‐fold increased risk of sudden death, whilst higher doses of beta‐adrenoceptor antagonists were protective (hazard ratio per milligram 0.92, 95% confidence interval 0.86–0.98, P = 0.009). Each milligram of bisoprolol‐equivalent beta‐adrenoceptor antagonist was associated with 9% (P = 0.001) and 11% (P = 0.023) reduction of sudden deaths in patients with <2 and ≥2 co‐morbidities, respectively. Conclusions Higher doses of beta‐adrenoceptor antagonist are associated with greater protection from sudden death, most evident in multi‐morbid patients. Patients with COPD who appear to be at the highest risk of sudden death are prescribed the lowest doses and less likely to be implanted with implantable cardioverter defibrillators, which might represent a missed opportunity to optimize safe and proven therapies for these patients.