Approximately half of patients with heart failure (HF) have a preserved ejection fraction (HFpEF), and with the changing age and comorbidity characteristics in the adult population, this number is growing rapidly. The defining symptom of HFpEF is exercise intolerance, but the specific mechanisms causing this common symptom remain debated and inadequately understood. Although diastolic dysfunction was previously considered to be the sole contributor to exercise limitation, recent studies have identified the importance of ventricular systolic, chronotropic, vascular, endothelial and peripheral factors that all contribute in a complex and highly integrated fashion to produce the signs and symptoms of HF. This review will explore the mechanisms underlying objective and subjective exercise intolerance in patients with HFpEF.