Background: Malnutrition and systemic inflammation are increasingly recognized as important determinants of prognosis in patients with heart failure. Several immuno-nutritional indices, including the Prognostic Nutritional Index (PNI), the Controlling Nutritional Status (CONUT) score, and the C-reactive protein–albumin–lymphocyte (CALLy) index, have been proposed as markers of nutritional and inflammatory status. However, their prognostic value in elderly patients with heart failure with preserved ejection fraction (HFpEF) remains incompletely defined. This study aimed to evaluate the prognostic significance of these immunonutritional indices in elderly patients with HFpEF over a long-term follow-up period. Methods: This retrospective observational study included 200 elderly patients hospitalized with HFpEF (mean age 86.6 ± 6.5 years). Clinical, laboratory, and echocardiographic parameters were collected at admission. Nutritional status was assessed using PNI, CONUT score, and CALLy index. Patients were followed for mortality during long-term follow-up. Survival analyses were performed using Cox regression models, receiver operating characteristic (ROC) curves, and Kaplan–Meier analysis. Median follow-up was 3.8 years (IQR 2.1–5.9). Results: During follow-up, 123 patients (61.5%) died, while 77 patients (38.5%) were alive at the end of observation. In univariate analysis, PNI, CONUT score, left ventricular ejection fraction (LVEF), and the tricuspid annular plane systolic excursion to systolic pulmonary artery pressure (TAPSE/sPAP) ratio were significantly associated with mortality. In multivariate analysis, the CONUT score, LVEF, and the TAPSE/sPAP ratio remained independent predictors of mortality. ROC analysis showed strong prognostic performance for the TAPSE/sPAP ratio (AUC 0.932), CONUT score (AUC 0.925), and LVEF (AUC 0.897). Optimal cut-off values for mortality prediction were CONUT ≥6, LVEF ≥65%, and TAPSE/sPAP ≤0.55. Kaplan–Meier analysis confirmed significantly reduced survival among patients with higher CONUT scores, higher LVEF, and an impaired TAPSE/sPAP ratio. Conclusions: In elderly patients with HFpEF, nutritional status and cardiopulmonary functional parameters are important determinants of long-term prognosis. The CONUT score emerged as the most informative immunonutritional index, while echocardiographic parameters reflecting ventricular function and right ventricular–pulmonary arterial coupling provided additional prognostic information. Integrating nutritional assessment with echocardiographic evaluation may improve risk stratification in elderly patients with HFpEF.