Aims: Undetected atrial fibrillation (AF) may be common in the heart failure with preserved ejection fraction (HFpEF) population, and failure to detect this may lead to the missing of opportunities to prevent associated subclinical cerebral infarctions (SCIs) and cognitive decline. Methods and results: We studied 1527 participants in the Atherosclerosis Risk in Communities (ARIC) Study, who underwent echocardiography, brain magnetic resonance imaging (MRI) and detailed cognitive assessment during 2011–13. Prevalences of SCI as detected by brain MRI were compared among the following groups: participants with no HFpEF/no AF; those with no HFpEF/AF; those with HFpEF/no AF, and those with HFpEF/AF. Cognitive scores were also compared. Prevalences of HFpEF and AF in this sample were 13.2% and 5.7%, respectively. Participants with HFpEF but no prior diagnosis of AF had a high prevalence of SCI by brain MRI (29.3%), which was similar to those in the no HFpEF/AF (24.5%) and HFpEF/AF (23.5%) groups, but higher than that in the no HFpEF/no AF subjects (17.3%). The odds of having SCI were higher in participants with HFpEF/no AF than in the no HFpEF/no AF group even after adjustment for potential confounders (odds ratio 1.56, 95% confidence interval 1.06–2.30). Individuals with HFpEF and SCI had lower cognitive scores than the reference (no HFpEF/no SCI) and HFpEF/no SCI groups. Conclusions: Subclinical cerebral infarctions were prevalent in subjects in the ARIC cohort with HFpEF and no prior AF diagnosis and are associated with measurable cognitive deficits. Although other sources of emboli may be possible, these data suggest that paroxysmal AF may be underdiagnosed in this population. There may be a role for earlier anticoagulation in patients with HFpEF.