Background: Malnutrition is increasingly recognized as an important determinant of prognosis in patients with heart failure (HF). The Geriatric Nutritional Risk Index (GNRI) is a simple nutritional assessment tool associated with adverse cardiovascular outcomes, but its relationship with diabetes mellitus and in-hospital mortality in hospitalized HF patients remains incompletely characterized. This study evaluated the association between GNRI-defined nutritional risk, diabetes mellitus, and in-hospital mortality in patients hospitalized with HF. Methods: This prospective observational study included 278 consecutive patients hospitalized with HF at a tertiary cardiology center between September 2025 and March 2026. Nutritional status was assessed using GNRI, and patients were classified as having no nutritional risk (GNRI ≥ 98) or GNRI-defined nutritional risk (GNRI < 98). Logistic regression evaluated the association between GNRI and diabetes mellitus, while Cox proportional hazards regression and Kaplan-Meier analyses assessed in-hospital mortality. Results: GNRI-defined nutritional risk was identified in 42.1% of patients. Compared with patients without nutritional risk, those with GNRI-defined nutritional risk had a higher prevalence of diabetes mellitus (73.5% vs. 50.9%, p < 0.001), longer hospital stays, and a nearly threefold higher in-hospital mortality rate (29.1% vs. 10.6%, p < 0.001). Higher GNRI values were associated with a lower prevalence of diabetes mellitus. Lower GNRI values were also associated with higher in-hospital mortality in the main Cox models; however, this association was attenuated and no longer statistically significant after adjustment for markers of heart failure severity. Conclusions: Lower GNRI values identified patients with greater nutritional and clinical vulnerability during hospitalization for HF. Further studies are needed to determine whether GNRI provides incremental prognostic value beyond established HF risk markers.