Chronic heart failure is a common disease accompanied by poor mental health and depression. The diagnosis of depression is based on the presence of affective, cognitive, and somatic symptoms assessed by categoric or dimensional instruments. Depression is prominent and high rates are found with dimensional instruments in hospitalized heart failure patients. Categoric instruments seem to be more reliable but are more complex to use. Because of poor outcomes, attention should also be paid to subthreshold depression. In screening for such cases, dimensional instruments might be preferable because of the risk for underestimation by categoric instruments. Dimensional instruments might also be easier to implement in daily practice but, to reduce bias, cutoff scores might need refinement according to the clinical setting. Therefore, studies that evaluate different cutoff values are needed to find a critical level of burden from a depressive symptomatology on outcomes such as mortality, hospitalizations, and quality of life.