The effects of iron deficiency (ID) have been widely studied in heart failure (HF) with reduced ejection fraction. On the other hand, studies in HF with preserved ejection fraction (HFpEF) are few and have included small numbers of participants. The aim of this study was to assess the role that ID plays in functional capacity and quality of life (QoL) in HFpEF while comparing several iron-related biomarkers to be used as potential predictors. ID was defined as ferritin <100 ng/mL or transferrin saturation <20%. Submaximal exercise capacity, measured by the 6-min walking test (6MWT), and QoL, assessed by the Minnesotta Living with Heart Failure Questionnaire (MLHFQ), were compared between iron deficient patients and patients with normal iron status. A total of 447 HFpEF patients were included in the present cross-sectional study, and ID prevalence was 73%. Patients with ID performed worse in the 6MWT compared to patients with normal iron status (ID 271 ± 94 m vs. non-ID 310 ± 108 m, p < 0.01). They also scored higher in the MLHFQ, denoting worse QoL (ID 49 ± 22 vs. non-ID 43 ± 23, p = 0.01). Regarding iron metabolism biomarkers, serum soluble transferrin receptor (sTfR) was the strongest independent predictor of functional capacity (β = −63, p < 0.0001, R2 0.39) and QoL (β = 7.95, p < 0.0001, R2 0.14) in multivariate models. This study postulates that ID is associated with worse functional capacity and QoL in HFpEF as well, and that sTfR is the best iron-related biomarker to predict both. Our study also suggests that the effects of ID could differ among HFpEF patients by left ventricular ejection fraction.