Exercise intolerance is a hallmark feature of chronic heart failure and is associated with poor prognosis. This review provides an update on cardiopulmonary exercise variables, proven to be prognostically important in heart failure. Besides the widely accepted peak oxygen consumption (peak VO2) and VEN/VCO2 slope, other exercise variables - exercise oscillatory ventilation (EOV) and partial pressure of end-tidal CO2, (PETCO2) - should gain attention in the interpretation of cardiopulmonary exercise testing. In addition to prognosis, the pathophysiological origin is also discussed. Different mechanisms underlie these exercise variables with an important contribution of haemodynamic, pulmonary and peripheral abnormalities. Given the different pathophysiological origin, a multivariate assessment with the inclusion of all the aforementioned parameters should be encouraged, not only for diagnostic and prognostic purposes but also for evaluating the effect of interventions.