This is a meta-analysis from 2006. 
The authors identified 36 publications that were analysed. Clinically significant depression was present in 21.5% of HF patients, and varied by the use of questionnaires versus diagnostic interview (33.6% and 19.3%, respectively) and New York Heart Association–defined HF severity (11% in class I vs. 42% in class IV). Combined results suggested higher rates of death and secondary events (risk ratio = 2.1, 95% confidence interval 1.7 to 2.6), trends toward increased health care use, and higher rates of hospitalization and emergency room visits among depressed patients.
1 Rutledge T, Reis VA, Linke SE, et al. Depression in Heart Failure. A Meta-Analytic Review of Prevalence, Intervention Effects, and Associations With Clinical Outcomes. J Am Coll Cardiol 2006;48:1527–37. doi:10.1016/j.jacc.2006.06.055