Background: Mid-regional pro-atrial natriuretic peptide (MR-proANP) is a useful biomarker in outpatients with type 2 diabetes (T2D) to diagnose heart failure (HF). Elevated B-type natriuretic peptides are included in the definition of HF with preserved ejection fraction (HFpEF) but little is known about the prognostic value of including A-type natriuretic peptides (MR-proANP) in the evaluation of patients with T2D. Methods: We prospectively evaluated the risk of incident cardiovascular (CV) events in outpatients with T2D (n = 806, mean ± standard deviation age 64 ± 10 years, 65% male, median [interquartile range] duration of diabetes 12 [6–17] years, 17.5% with symptomatic HFpEF) according to MR-proANP levels and stratified according to HF-status including further stratification according to a prespecified cut-off level of MR-proANP. Results: A total of 126 CV events occurred (median follow-up 4.8 [4.1–5.3] years). An elevated MR-proANP, with a cut-off of 60 pmol/l or as a continuous variable, was associated with incident CV events (p < 0.001). Compared to patients without HF, patients with HFpEF and high MR-proANP (≥ 60 pmol/l; median 124 [89–202] pmol/l) and patients with HF and reduced ejection fraction (HFrEF) had a higher risk of CV events (multivariable model; hazard ratio (HR) 2.56 [95% CI 1.64–4.00] and 3.32 [1.64–6.74], respectively). Conversely, patients with HFpEF and low MR-proANP (< 60 pmol/l; median 46 [32–56] pmol/l) did not have an increased risk (HR 2.18 [0.78–6.14]). Conclusions: Patients with T2D and HFpEF with high MR-proANP levels had an increased risk for CV events compared to patients with HFpEF without elevated MR-proANP and compared to patients without HF, supporting the use of MR-proANP in the definition of HFpEF from a prognostic point-of-view.