Aims The aim of this study was to evaluate the effect of the Mediterranean diet (MedDiet) on the incidence of heart failure (HF), a pre‐specified secondary outcome in the PREDIMED (PREvención con DIeta MEDiterránea) primary nutrition‐intervention prevention trial. Methods and results Participants at high risk of cardiovascular disease were randomly assigned to one of three diets: MedDiet supplemented with extra‐virgin olive oil (EVOO), MedDiet supplemented with nuts, or a low‐fat control diet. Incident HF was ascertained by a Committee for Adjudication of events blinded to group allocation. Among 7403 participants without prevalent HF followed for a median of 4.8 years, we observed 29 new HF cases in the MedDiet with EVOO group, 33 in the MedDiet with nuts group, and 32 in the control group. No significant association with HF incidence was found for the MedDiet with EVOO and MedDiet with nuts, compared with the control group hazard ratio (HR) 0.68; 95% confidence interval (CI) 0.41–1.13, and HR 0.92; 95% CI 0.56–1.49, respectively. Conclusion In this sample of adults at high cardiovascular risk, the MedDiet did not result in lower HF incidence. However, this pre‐specified secondary analysis may have been underpowered to provide valid conclusions. Further randomized controlled trials with HF as a primary outcome are needed to better assess the effect of the MedDiet on HF risk. Trial registration: ISRCTN35739639.