Abstract Aims Cognitive impairment (CI) in heart failure (HF) patients has mostly been studied in single countries in specific health care settings. Sociodemographic and clinical predictors of the global CI and CI dimensions are still unclear. We described CI in a diverse HF population recruited in several countries and in different health care settings and investigated sociodemographic and clinical factors associated with the global and specific CI dimensions in HF patients. Methods and results A secondary analysis from the baseline data of the Wii‐HF trial. Patients (n = 605) were enrolled in Sweden, Italy, Israel, The Netherlands, Germany, and the United States. We used the Montreal Cognitive Assessment to evaluate CI and the 6 minute walk test (6MWT) to measure exercise capacity. Patients were on average 67 years old (SD, 12), and 86% were in New York Heart Association Class II and III. The mean Montreal Cognitive Assessment score was 24 (SD, 4), and 67% of patients had at least a mild CI. The item evaluating short‐term memory had a considerable proportion of low scoring patients (28.1%). Worse CI was associated with patients' older age, lower education, and lower 6MWT scores (R2 = 0.27). CI dimension scores were differently associated with specific clinical and demographic variables, but the 6MWT scores were associated with five out of seven CI dimension scores. Conclusions CI is an important problem in HF patients, with specific challenges in regard to memory. Exercise capacity is a modifiable factor that could be improved in HF patients with the potential to improve cognition and other outcomes in this population.