Objective To investigate the correlation of monocyte⁃to⁃high density lipoprotein cholesterol ratio (MHR) and serum 25 hydroxyvitamin D (25[OH]D) level with prognosis of patients with heart failure with preserved ejection fraction (HFpEF) at vulnerable stage. Methods A total of 151 HFpEF patients were selected, and their prognostic outcome at vulnerable stage was recorded. Monocyte count, levels of serum HDL⁃C and 25(OH)D were detected, and MHR was calculated. The influencing factors for adverse prognosis of HFpEF patients at vulnerable stage were analyzed by using the multivariate Logistic regression method. The value of MHR, serum 25(OH)D level for alone and jointly predicting adverse prognosis of HFpEF patients at vulnerable stage was analyzed by employing the receiver operating characteristic (ROC) curve. Results The incidence rate of adverse prognosis at vulnerable stage was 24.50% (37/151) among 151 patients with HFpEF. The results of multivariate Logistic regression analysis revealed that New York Heart Association cardiac function classification in Ⅲ-Ⅳ, elevated serum N⁃terminal pro-B-type natriuretic peptide level, and elevated MHR were the risk factors for adverse prognosis of patients with HFpEF at vulnerable stage, and elevated serum 25(OH)D level was the protective factor (P<0.05). The results of ROC curve analysis indicated that areas under the curve of MHR, serum 25(OH)D level, and MHR combined with serum 25(OH)D level for predicting adverse prognosis of HFpEF patients at vulnerable stage were 0.787, 0.784, and 0.876, and area under the curve of MHR combined with serum 25(OH)D level was larger than that of single indicator (P<0.05). Conclusions Elevated MHR and decreased serum 25(OH)D level are the influencing factors for adverse prognosis of HFpEF patients at vulnerable stage, and the combination of the two exerts a high predictive value for adverse prognosis of HFpEF patients at vulnerable stage.