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Aims: Heart failure (HF) is a chronic and progressive syndrome associated with a poor prognosis. While it may seem intuitive that the risk of adverse outcomes varies across the different stages of HF, an overview of these risks is lacking. This study aims to determine the risk of all‐cause mortality and HF hospitalizations associated with new‐onset HF, chronic HF (CHF), worsening HF (WHF), and advanced HF. Methods and results: We performed a systematic review of observational studies from 2012 to 2022 using five different databases. The primary outcomes were 30‐day and 1‐year all‐cause mortality, as well as 1‐year HF hospitalization. Studies were pooled using random effects meta‐analysis, and mixed‐effects meta‐regression was used to compare the different HF groups. Among the 15 759 studies screened, 66 were included representing 862 046 HF patients. Pooled 30‐day mortality rates did not reveal a significant distinction between hospital‐admitted patients, with rates of 10.13% for new‐onset HF and 8.11% for WHF (p = 0.10). However, the 1‐year mortality risk differed and increased stepwise from CHF to advanced HF, with a rate of 8.47% (95% confidence interval [CI] 7.24–9.89) for CHF, 21.15% (95% CI 17.78–24.95) for new‐onset HF, 26.84% (95% CI 23.74–30.19) for WHF, and 29.74% (95% CI 24.15–36.10) for advanced HF. Readmission rates for HF at 1 year followed a similar trend. Conclusions: Our meta‐analysis of observational studies confirms the different risk for adverse outcomes across the distinct HF stages. Moreover, it emphasizes the negative prognostic value of WHF as the first progressive stage from CHF towards advanced HF. [ABSTRACT FROM AUTHOR]