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Background Although several studies have addressed plasma proteomics in heart failure with preserved ejection fraction, limited data are available on the prognostic value of urinary proteomics. The objective of our study was to identify urinary proteins/peptides associated with death and heart failure admission in patients with heart failure with preserved ejection fraction. Methods and Results The study population included participants enrolled in TOPCAT (Treatment of Preserved Cardiac Function Heart Failure With an Aldosterone Antagonist Trial). The relationship between urine protein levels and the risk of death or heart failure admission was assessed using Cox regression, in both nonadjusted analyses and adjusting for urine creatinine levels, and the MAGGIC (Meta‐Analysis Global Group in Chronic Heart Failure) score. A total of 426 (12.4%) TOPCAT participants had urinary protein data and were included. There were 40 urinary proteins/peptides significantly associated with death or heart failure admission in nonadjusted analyses, 21 of which were also significant adjusted analyses. Top proteins in the adjusted analysis included ANGPTL2 (angiopoietin‐like protein 2) (hazard ratio [HR], 0.5731 [95% CI, 0.47–0.7]; P=3.13E‐05), AMY2A (α amylase 2A) (HR, 0.5496 [95% CI, 0.44–0.69]; P=0.0001), and DNASE1 (deoxyribonuclease‐1) (HR, 0.5704 [95% CI, 0.46–0.71]; P=0.0002). Higher urinary levels of proteins involved in fibrosis (collagen VI α‐1, collagen XV α‐1), metabolism (pancreatic α‐amylase 2A/B, mannosidase α class 1A member 1), and inflammation (heat shock protein family D member 1, inducible T cell costimulatory ligand) were associated with a lower risk of death or heart failure admission. Conclusions Our study identifies several novel associations between urinary proteins/peptides and outcomes in heart failure with preserved ejection fraction. Many of these associations are independent of clinical risk scores and may aid in risk stratification in this patient population.