This study sought to compare the prognostic power of left ventricular end-diastolic pressure (LVEDP) and pulmonary arterial wedge pressure (PAWP) in heart failure with preserved ejection fraction (HFpEF). It is broadly accepted that direct measurement of LVEDP in HFpEF more robustly reflects left ventricular hemodynamics than PAWP. A total of 173 consecutive HFpEF patients were prospectively enrolled. Of these, 152 patients fulfilled registry inclusion criteria. Study participants underwent clinical evaluation, lung function tests, echocardiography, cardiac magnetic resonance, coronary angiography, and invasive hemodynamic assessments with PAWP and LVEDP measurements in 1 procedure. The study endpoint was defined as hospitalization for heart failure or cardiac death. A modest pressure difference (2.0 ± 4.4 mm Hg) was observed between PAWP (21.5 ± 5.6 mm Hg) and LVEDP (19.5 ± 5.2 mm Hg) at baseline. After a mean follow-up of 23.5 ± 21.3 months, PAWP was predictive of outcome (p = 0.010), whereas LVEDP was not (p = 0.261) by Kaplan-Meier curves. By multivariate regression analysis, diffusion capacity of carbon monoxide (DLCO) was the only parameter that was independently related to the pressure difference between PAWP and LVEDP. When patients were stratified according to DLCO between ≤45% and >45%, those in the low DLCO group were found to have a more pronounced pressure drop between PAWP and LVEDP (3.1 ± 4.8 mm Hg vs. 0.8 ± 3.8 mm Hg, respectively; p = 0.031) and to be in more advanced disease stages. Our data indicate that PAWP but not LVEDP is associated with outcome in HFpEF. A more pronounced difference between PAWP and LVEDP and more advanced disease is found in patients with low DLCO.