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Background: Anemia is frequently observed in patients undergoing transcatheter aortic valve implantation (TAVI) and may reflect persistent biological vulnerability in the post-procedural period. The relationship between systemic immune-inflammatory burden and anemia at entry into structured cardiac rehabilitation (CR) after TAVI remains insufficiently explored. Methods: This retrospective observational study included 80 consecutive patients referred to CR after successful TAVI. Anemia was defined by World Health Organization (WHO) criteria (hemoglobin <13 g/dL in men; <12 g/dL in women). Systemic inflammatory burden was assessed using C-reactive protein (CRP), neutrophil-to-lymphocyte ratio (NLR), platelet-to-lymphocyte ratio (PLR), monocyte-to-lymphocyte ratio (MLR), and the systemic immune-inflammation index (SII = platelet × neutrophil/lymphocyte). Multivariable logistic regression, adjusted for age, sex, body mass index (BMI), type 2 diabetes mellitus, and estimated glomerular filtration rate (eGFR), was used to evaluate independent associations with anemia. Results: Anemia was present in 67.5% of patients at CR entry. Compared with non-anemic patients, anemic patients exhibited significantly higher CRP (4.25 vs. 2.58 mg/L; p = 0.014), NLR (2.86 vs. 2.34; p = 0.004), PLR (132.33 vs. 102.13; p = 0.003), and SII (566.01 vs. 448.30; p = 0.011). In multivariable models, NLR (OR 4.09; 95% CI 1.50-11.19; p = 0.006), PLR (OR 4.89; 95% CI 1.41-17.02; p = 0.013), SII (OR 4.96; 95% CI 1.35-18.14; p = 0.016), and CRP (OR 2.17; 95% CI 1.07-4.39; p = 0.032) were independently associated with anemia. Area under the ROC curve (AUC) was 0.70 for NLR and PLR, 0.68 for SII, and 0.67 for CRP. Conclusions: Systemic inflammatory burden is independently associated with anemia at the time of entry into CR facility after TAVI. These findings support an integrated approach to patient evaluation and provide a basis for future mechanistic and interventional studies.