Background Comorbid depression in patients with heart failure is associated with increased risk for death. In order to effectively identify depressed patients with cardiac disease, the American Heart Association suggests a 2-step screening method: administering the 2-item Patient Health Questionnaire first and then the 9-item Patient Health Questionnaire. However, whether the 2-step method is better for predicting poor prognosis in heart failure than is either the 2-item or the 9-item tool alone is not known. Objective To determine whether the 2-step method is better than either the 2-item or the 9-item questionnaire alone for predicting all-cause mortality in heart failure. Methods During a 2-year period, 562 patients with heart failure were assessed for depression by using the 2-step method. With the 2-step method, results are considered positive if patients endorse either depressed mood or anhedonia on the 2-item screen and have scores of 10 or higher on the 9-item screen. Results Screening results with the 2-step method were not associated with all-cause mortality. Patients with scores positive for depression on either the 2-item or 9-item screen alone had 53% and 60% greater risk, respectively, for all-cause death than did patients with scores negative for depression after adjustments for covariates (hazard ratio, 1.530; 95% CI, 1.029–2.274 for the 2-item screen; hazard ratio, 1.603; 95% CI, 1.079–2.383 for the 9-item screen). Conclusions The 2-step method has no clear advantages compared with the 2-item screen alone or the 9-item screen alone for predicting adverse prognostic effects of depressive symptoms in heart failure.