Anemia is common in patients with chronic heart failure (HF), with a prevalence ranging from 10% to 56%, and may be a risk factor for poor outcomes. Anemia in HF remains poorly understood, with significant gaps in its impact on health-related quality of life (HRQoL), with most studies in HF being retrospective or from registries. The purpose of this study was to explore the relation of hemoglobin (Hgb) with HRQoL and training-induced changes in HRQoL in a cohort of patients in Heart Failure: A Controlled Trial Investigating Outcomes of Exercise Training (HF-ACTION). Using data from HF-ACTION, a randomized controlled trial of exercise training in patients with HF and low left ventricular ejection fractions, HRQoL was measured using the Kansas City Cardiomyopathy Questionnaire (KCCQ) at baseline, 3 and 12 months, and annually up to 4 years. Treatment group effects on HRQoL were estimated using linear mixed models according to the intention-to-treat principle. It was hypothesized that baseline Hgb would be correlated with baseline KCCQ scales and that Hgb would moderate the beneficial effect of exercise training on HRQoL. Hgb level was not significantly correlated with baseline HRQoL. Baseline Hgb did not moderate the beneficial effect of exercise training on KCCQ overall or subscales relative to usual care. In conclusion, in the HF-ACTION cohort, there was no correlation with baseline Hgb and baseline HRQoL as measured by the KCCQ. In addition, the beneficial effects of HRQoL from exercise training were not modulated by baseline Hgb.