This study aimed to examine the discrete impacts of peak oxygen consumption (VO₂) and brain natriuretic peptide (BNP) levels on future heart failure (HF) events in sinus rhythm (SR) and atrial fibrillation (AF). A total of 1447 patients who underwent symptom-limited cardiopulmonary exercise testing and whose BNP values were determined simultaneously were analysed (SR, N = 1151 and AF, N = 296). HF events were defined as HF hospitalization or HF death. Over a mean follow-up period of 1472 days, 140 HF events were observed. A high BNP value (dichotomized by median value) was independently associated with HF events in SR (HR 8.08; 95 % CI 4.02–16.26; p < 0.0001), but not in AF patients (HR 1.97; 95 % CI 0.91–4.28; p = 0.087) with a significant interaction between the rhythms. By contrast, low-peak VO₂ was independently associated with HF events in both rhythms (AF; HR 5.81; 95 % CI 1.75–19.30; p = 0.004, SR; HR 2.04; 95 % CI 1.19–3.49; p = 0.009), with a marginal interaction between them. In bivariate Cox models, low-peak VO₂ had much stronger predictive power for HF events than high-BNP in AF, whereas high-BNP was more powerful than low-peak VO₂ in SR. The prognostic value of BNP and peak VO₂ for future HF events seemed to be different between SR and AF.