Cognitive impairment and dementia are established complications of heart failure (HF) in adult patients and impair medication adherence and self-care. Atrial fibrillation (AF) is suggested to play an independent role in the cognitive decline in patients with HF. The objective of this systematic review was to assess the effect of AF on cognitive function in these patients. Medline (PubMed), Scopus, and the CENTRAL databases were queried from their inception up to April 30, 2016. The search included primary research articles evaluating the effect of AF on cognition in HF patients. There were five eligible studies, including a total of 1670 patients with HF; of these, 449 (26.9%) had AF. Different AF types were studied, including persistent, paroxysmal, or permanent. Four cognitive tests were used to assess cognitive function (Mini-Mental State Examination, Short Portable Mental Status Questionnaire, Modified Mini-Mental Examination, and Montreal cognitive assessment tool). Using the inverse variance method and a random effects model, we observed that presence of AF was significantly associated with increased risk of cognitive impairment in HF patients (odds ratio [OR], 1.94; 95% confidence interval [CI], 1.30–2.87), although with significant heterogeneity (I ²  = 39%). This heterogeneity can be attributed to the different populations and types of AF studied as well as to varying cognitive assessment methods. Concomitant AF may exacerbate cognitive dysfunction in HF patients. However, data are sparse and heterogeneous. Well-designed, prospective studies are needed to (a) establish a causative link and (b) identify the underlying mechanism in order to design appropriate interventions to attenuate risk of cognitive impairment in patients with HF.