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In patients with heart failure (HF), depression is common and associated with adverse outcomes such as reduced adherence to treatment, poor quality of life, increased hospitalizations and elevated mortality. Despite these adverse impacts, depression remain underdiagnosed in HF patients. We performed a target review of the literature to identify the association between HF and depression, to examine the mechanisms that link these two conditions and to identify instruments for an accurate diagnosis and treatment of depression in HF patients. Depression is associated with the development and progression of HF, including increased rates of mortality, mediated by behavioral and pathophysiological mechanisms. The overlap of symptoms between depression and HF often makes the diagnosis of depression difficult and late. Currently, specific guidelines for depression screening in HF patients are lacking, partly because evidences showing that depression screening improves cardiac outcomes are insufficient. European guidelines suggest the early use of instruments such as the Beck Depression Inventory (BDI) and the Geriatric Depression Scale (GDS), both characterized by accuracy and administration simplicity. There is limited evidence of pharmacological treatment and psychotherapy efficacy in patients with HF. However, cognitive-behavioral therapy has been shown to improve outcomes HF patients, and selective serotonin reuptake inhibitors appear safe in this cohort.