Heart failure with preserved ejection fraction (HFpEF) is a clinical syndrome with high mortality for which there is no proven therapy to improve its prognosis. Thyroid dysfunction is common in heart failure (HF) and is associated with worse prognosis. In this review, we discuss the cardiovascular effects of thyroid hormones, the pathophysiology of HFpEF, the prognostic impact of thyroid function, and the potential of thyroid hormones for treatment of HFpEF. Thyroid hormones have a central role in cardiovascular homeostasis, improving cardiac function through genomic and non-genomic mechanisms. Both overt and subclinical hypothyroidism are associated with increased risk of HF. Even when plasmatic thyroid hormones levels are normal, patients with HF may have local cardiac hypothyroidism due to upregulation of type 3 iodothyronine deiodinase. Thyroid hormones improve several pathophysiological mechanisms of HFpEF, including diastolic dysfunction and extra-cardiac abnormalities. Supplementation with thyroid hormones (levothyroxine and/or liothyronine), modulation of deiodinase activity, and heart-specific thyroid receptor agonists are potential therapeutic approaches for the treatment of HFpEF. Further preclinical and clinical studies are needed to clarify the role of thyroid hormones in the treatment of HFpEF.