Background: Heart failure (HF) is a leading cause of cardiac morbidity among women, whose risk factors differ from those in men. We used machine-learning approaches to develop risk- prediction models for incident HF in a cohort of postmenopausal women from the Women's Health Initiative (WHI). Methods: We used 2 machine-learning methods—Least Absolute Shrinkage and Selection Operator (LASSO) and Classification and Regression Trees (CART)—to perform variable selection on 1227 baseline WHI variables for the primary outcome of incident HF. These variables were then used to construct separate Cox proportional hazard models, and we compared these results, using receiver-operating characteristic (ROC) curve analysis, against a comparator model built using variables from the Atherosclerosis Risk in Communities (ARIC) HF prediction model. We analyzed 43,709 women who had 2222 incident HF events; median follow-up was 14.3 years. Results: LASSO selected 10 predictors, and CART selected 11 predictors. The highest correlation between selected variables was 0.46. In addition to selecting well-established predictors such as age, myocardial infarction, and smoking, novel predictors included physical function, number of pregnancies, number of previous live births and age at menopause. In ROC analysis, the CART-derived model had the highest C-statistic of 0.83 (95% confidence interval [CI], 0.81-0.85), followed by LASSO 0.82 (95% CI, 0.81-0.84) and ARIC 0.73 (95% CI, 0.70-0.76). Conclusions: Machine-learning approaches can be used to develop HF risk-prediction models that can have better discrimination compared with an established HF risk model and may provide a basis for investigating novel HF predictors.