Recent studies have found increases in the cardiovascular mortality rates during poor air quality events due to outbreaks of desert dust. In Tenerife, we collected (2014–2017) data in 829 patients admitted with a heart failure diagnosis in the Emergency Department of the University Hospital of the Canaries. In this region, concentrations of PM10 and PM2.5 are usually low (~20 and 10 µg/m3), but they increase to 360 and 115 μg/m3, respectively, during Saharan dust events. By using statistical tools (including multivariable logistic regressions), we compared in-hospital mortality of patients with heart failure and exposure to PM10 and PM2.5 during dust and no-dust events. We found that 86% of in-hospital heart failure mortality cases occurred during Saharan dust episodes that resulted in PM10 > 50 µg/m3 (interquartile range: 71–96 µg/m3). A multivariate analysis showed that, after adjusting for other covariates, exposure to Saharan dust events associated with PM10 > 50 µg/m3 was an independent predictor of heart failure in-hospital mortality (OR = 2.79, 95% CI (1.066–7.332), p = 0.03). In conclusion, this study demonstrates that exposure to high Saharan dust concentrations is independently associated with in-hospital mortality in patients with heart failure.