This review aims to summarize the theory of cognitive behavioural therapy (CBT) as well as the current evidence for whether CBT can be beneficial for patients with heart failure (HF). Depression and/or anxiety are common in HF patients. However, participation in disease management programmes does not seem to be beneficial for these problems. CBT, which focuses on the identification and changing of dysfunctional beliefs and thoughts and on behaviour therapy, is a possible treatment option. The number of CBT studies on HF is small and they are often not designed as randomized controlled trials. However, the studies on HF indicate that CBT can decrease depression as well as anxiety and suggest that relaxation exercises with elements of CBT may decrease symptom burden. Before implementation in clinical practice, more knowledge is needed about how CBT programmes should be designed, where CBT should be delivered and who should deliver CBT.