Impaired renal function is a strong predictor of mortality in chronic heart failure (CHF). However, the impact of chronic kidney disease (CKD) on prognostic factors has not been rigorously examined in CHF. The purpose of this study was to compare prognostic factors between CHF patients with and without CKD. Consecutive 505 patients with CHF, who performed cardiopulmonary exercise testing before discharge, were enrolled. Patients were divided into two groups: CKD group (eGFR < 60 mL/minute/1.73 m2, n = 213) and non-CKD group (eGFR ≥ 60 mL/minute/1.73 m2, n = 292). The patients were followed up to register cardiac events including cardiac death and re-hospitalization due to worsening heart failure. There were 115 events during the follow-up period (746 ± 238 days), and the cardiac event rate was higher in the CKD group than in the non-CKD group (34% versus 14%, P < 0.001). Multivariate Cox hazard analysis demonstrated that body mass index (P < 0.001), log BNP (P < 0.001), peak VO2 (P < 0.05), and left atrial dimension (P < 0.05) were independent parameters to predict cardiac events after discharge in the non-CKD group. In contrast, peak VO2 (P < 0.01), log BNP (P < 0.01), and the concentrations of hemoglobin (P < 0.05) and uric acid (P < 0.05) were independent prognostic factors in the CKD group. Prognostic factors were different between CHF patients with and without CKD, and this should be considered when managing CHF patients with CKD.