Heart failure with preserved ejection fraction (HFpEF) is the fastest growing form of heart failure in the United States. The cardinal feature of HFpEF is reduced exercise tolerance (peak oxygen uptake, (Equation is included in full-text article.)O2peak) secondary to impaired cardiac, vascular, and skeletal muscle function. There are currently no evidence-based drug therapies to improve clinical outcomes in patients with HFpEF. In contrast, exercise training is a proven effective intervention for improving (Equation is included in full-text article.)O2peak, aerobic endurance, and quality of life in HFpEF patients. This brief review discusses the pathophysiology of exercise intolerance and the role of exercise training to improve (Equation is included in full-text article.)O2peak in clinically stable HFpEF patients. It also discusses the mechanisms responsible for the exercise training-mediated improvements in (Equation is included in full-text article.)O2peak in HFpEF. Finally, it provides evidence-based exercise prescription guidelines for cardiac rehabilitation specialists to assist them with safely implementing exercise-based cardiac rehabilitation programs for HFpEF patients.