Our aim was to identify optimal cardiopulmonary exercise testing (CPET) threshold values that distinguish disease severity progression in patients with co-existing systolic heart failure (HF) and chronic obstructive pulmonary disease (COPD), and to evaluate the impact of the cut-off determined on the prognosis of hospitalizations. We evaluated 40 patients (30 men and 10 woman) with HF and COPD through pulmonary function testing, doppler echocardiography and maximal incremental CPET on a cycle ergometer. Several significant CPET threshold values were identified in detecting a forced expiratory volume in 1 second (FEV1) < 1.6 L: 1) oxygen uptake efficiency slope (OUES) < 1.3; and 2) circulatory power (CP) < 2383 mmHg.mlO2.kg-1. CPET significant threshold values in identifying a left ventricular ejection fraction (LVEF) < 39% were: 1) OUES: < 1.3; 2) CP < 2116 mmHg.mlO2.kg-1.min-1 and minute ventilation/carbon dioxide production (V̇E/V̇CO2) slope>38. The 15 (38%) patients hospitalized during follow-up (8 ± 2 months). In the hospitalizations analysis, LVEF < 39% and FEV1 < 1.6, OUES < 1.3, CP < 2116 mmHg.mlO2.kg-1.min-1 and V̇E/V̇CO2 > 38 were a strong risk predictor for hospitalization (P ≤ 0.050). The CPET response effectively identified worsening disease severity in patients with a HF-COPD phenotype. LVEF, FEV1, CP, OUES, and the V̇E/V̇CO2 slope may be particularly useful in the clinical assessment and strong risk predictor for hospitalization.