Objective: To identify and validate differentially expressed circulating microRNAs (miRNAs) and to evaluate their potential diagnosis and prognosis value in heart failure with preserved ejection fraction (HFpEF). Methods: This two-stage study included a discovery cohort and a validation cohort. A total of 45 participants were initially enrolled, including 30 patients with HFpEF and 15 non–heart failure (non-HF) controls. Pooled plasma samples were analyzed by high-throughput miRNA sequencing to screen for differentially expressed candidate miRNAs. In the validation cohort, 133 HFpEF patients and 53 non-HF hospitalized controls were consecutively enrolled. Quantitative real-time reverse transcription polymerase chain reaction (qRT-PCR) was used to validate the expression levels of candidate miRNAs. Receiver operating characteristic (ROC) analysis and the area under the curve (AUC) were calculated to assess diagnostic performance. Major adverse cardiovascular events (MACE) were defined as cardiovascular death or heart failure rehospitalization. HFpEF patients were followed up for a median duration of 216 days (interquartile range: 199–260 days). Kaplan–Meier analysis and Cox proportional hazards models were applied to explore the association between plasma miRNA levels and clinical outcomes. Results: Compared with controls, Plasma hsa-miR-130a-3p was significantly upregulated in HFpEF patients [1.93 (1.10,2.96) vs. 0.98 (0.79,1.19); p < 0.001]. ROC analysis showed that miR-130a-3p effectively differentiated HFpEF patients from controls, with an AUC of 0.791 (95% CI: 0.728–0.853, p < 0.001) and an optimal cutoff value of 1.459, with a sensitivity of 62.41% and specificity of 94.34%. Based on the levels of miR-130a-3p, HFpEF patients were categorized into high- and low-expression groups. Kaplan–Meier analysis revealed that patients with high miR-130a-3p expression had a significantly higher cumulative incidence of MACE than those with low expression (26.98% vs. 6.15%, log-rank p = 0.002). Multivariate Cox regression further confirmed that elevated plasma miR-130a-3p expression was an independent predictor of adverse outcomes in HFpEF (HR = 2.197, 95% CI: 1.254–3.847, p = 0.006). Conclusion: Circulating miR-130a-3p is a promising diagnostic and prognostic biomarker for HFpEF. Its high expression is closely associated with adverse cardiovascular outcomes, suggesting that circulating miR-130a-3p may serve as a novel biomarker for HFpEF diagnosis and risk stratification. Further validation in larger multicenter prospective cohorts is warranted.