Brain-derived neurotropic factor (BDNF) is a myokine that plays a key role in regulating survival, growth, and maintenance of neurons. We investigated whether the serum BDNF level at discharge could predict the prognosis in patients with heart failure (HF). Furthermore, we aimed to examine the relationship between this myokine and exercise tolerance. We prospectively enrolled 94 patients who were hospitalized for worsening HF and had cardiac rehabilitation. At discharge, the serum BDNF level of all patients was measured using a commercial ELISA kit and they underwent a cardiopulmonary exercise test to measure peak oxygen uptake (peak VO₂). Correlation was not observed between BDNF and peak VO₂. Kaplan–Meier analysis demonstrated that cardiac death or rehospitalization owing to worsening HF was significantly higher in the low BDNF group (p = 0.023). The combination of peak VO₂ and BDNF levels led to the identification of subgroups with significantly different probabilities of events (p = 0.005). In particular, in the low BDNF and low peak VO₂ group, the frequency of rehospitalization within half a year after discharge was much higher than that in other groups. Multivariate analysis found BDNF as an independent factor of adverse events (hazard ratio 0.956; 95% confidence interval 0.911–0.999; p = 0.046). The serum BDNF level at discharge may be a useful biomarker of the prognosis in patients with HF. Furthermore, combining BDNF and peak VO₂ may be useful for predicting early cardiac events.