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.