In addition to drug therapy, lifestyle modification, including physical activity, and nutrition management are an integral part of current guidelines for patients with chronic heart failure (CHF). However, evidence on which clinical parameters are most influenced by nutritional behaviour, exercise capacity, or iron status is scarce. For a multicenter intervention study, we included participants with diagnosed CHF (n = 165) as well as participants with elevated NT-proBNP values and risk factors for CHF (n = 74). Cardiorespiratory fitness was tested with a bicycle test, and adherence to the Mediterranean diet (MedDiet) was assessed with the MDS questionnaire. Our data strengthened previous results confirming that the higher a person's adherence to MedDiet, the higher the cardiorespiratory fitness and the lower the body fat. Furthermore, our results showed that anemia in patients with CHF has an impact in terms of cardiorespiratory fitness, and functional outcomes by questionnaire. Since our data revealed gaps in iron supply (37.9% with iron deficiency), malnutrition (only 7.8% with high adherence to MedDiet), and both symptomatic and non-symptomatic study participants failed to meet reference values for physical performance, we encourage the enforcement of the guidelines in the treatment of CHF more strongly.