<jats:title>Abstract</jats:title><jats:sec><jats:title>Aims</jats:title><jats:p>Exercise‐derived parameters, specifically peak exercise oxygen uptake (peak VO<jats:sub>2</jats:sub>) and minute ventilation/carbon dioxide relationship slope (VE/VCO<jats:sub>2</jats:sub> slope), have a pivotal prognostic value in heart failure (HF). It is unknown how the prognostic threshold of peak VO<jats:sub>2</jats:sub> and VE/VCO<jats:sub>2</jats:sub> slope has changed over the last 20 years in parallel with HF prognosis improvement.</jats:p></jats:sec><jats:sec><jats:title>Methods and results</jats:title><jats:p>Data from 6083 HF patients (81% male, age 61 ± 13 years), enrolled in the MECKI score database between 1993 and 2015, were retrospectively analysed. By enrolment year, four groups were generated: group 1 1993–2000 (<jats:italic>n</jats:italic> = 440), group 2 2001–2005 (<jats:italic>n</jats:italic> = 1288), group 3 2006–2010 (<jats:italic>n</jats:italic> = 2368), and group 4 2011–2015 (<jats:italic>n</jats:italic> = 1987). We compared the 10‐year survival of groups and analysed how the overall risk (cardiovascular death, urgent heart transplantation, or left ventricular assist device implantation) changed over time according to peak VO<jats:sub>2</jats:sub> and VE/VCO<jats:sub>2</jats:sub> slope and to major clinical and therapeutic variables. At 10 years, a progressively higher survival from group 1 to group 3 was observed, with no further improvement afterwards. A 20% risk for peak VO<jats:sub>2</jats:sub> 15 mL/min/kg (95% confidence interval 16–13), 9 (11–8), 4 (4–2) and 5 (7–4) was observed in group 1, 2, 3, and 4, respectively, while the VE/VCO<jats:sub>2</jats:sub> slope value for a 20% risk was 32 (37–29), 47 (51–43), 59 (64–55), and 57 (63–52), respectively.</jats:p></jats:sec><jats:sec><jats:title>Conclusions</jats:title><jats:p>Heart failure prognosis improved over time up to 2010 in a HF population followed by experienced centres. The peak VO<jats:sub>2</jats:sub> and VE/VCO<jats:sub>2</jats:sub> slope cut‐offs identifying a definite risk progressively decreased and increased over time, respectively. The prognostic threshold of peak VO<jats:sub>2</jats:sub> and VE/VCO<jats:sub>2</jats:sub> slope must be updated whenever HF prognosis improves.</jats:p></jats:sec>