Epidemiological studies on heart failure (HF) using large health care databases are becoming increasingly frequent, as they represent an invaluable opportunity to characterize the importance and risk factors of HF from a population perspective. Nevertheless, because of its complex diagnosis and natural history, the heterogeneous use of the relevant terminology in routine clinical practice, and the limitations of some disease coding systems, HF can be a challenging condition to assess using large health care databases as the main source of information. In this narrative review, we discuss some of the challenges that researchers may face, with a special focus on the identification and validation of chronic HF cases and acute HF decompensations. For each of these challenges, we present some potential solutions inspired by the literature and/or based on our research experience, aimed at increasing the internal validity of research and at informing its interpretation. We also discuss future directions on the field, presenting constructive recommendations aimed at facilitating the conduct of valid epidemiological studies on HF in the coming years.