Abstract Aims Risk stratification of heart failure (HF) patients with preserved ejection fraction (HFpEF) can promote a more personalized treatment. We tested the prognostic value of a multi-parametric evaluation, including biomarkers, cardiopulmonary exercise testing-exercise stress echocardiography (CPET-ESE), and lung ultrasound, in HFpEF patients and subjects at risk of developing HF (HF Stages A and B). Background Risk stratification of heart failure (HF) patients with preserved ejection fraction (HFpEF) can promote a more personalized treatment. Design We tested the prognostic value of a multi-parametric evaluation, including biomarkers, cardiopulmonary exercise testing-exercise stress echocardiography (CPET-ESE), and lung ultrasound, in HFpEF patients and subjects at risk of developing HF (HF Stages A and B). Methods and results We performed a resting clinical/bio-humoural evaluation and a symptom-limited CPET-ESE in 274 patients (45 Stage A, 68 Stage B, and 161 Stage C-HFpEF) and 30 age- and sex-matched healthy controls. During a median follow-up of 18.5 months, we reported 71 HF hospitalizations and 10 cardiovascular deaths. Cox proportional-hazards regression identified five independent predictors and each was assigned a number of points proportional to its regression coefficient: stress-rest ΔB-lines >10 (3 points), peak oxygen consumption <16 mL/kg/min (2 points), minute ventilation/carbon dioxide production slope ≥36 (2 points), peak systolic pulmonary artery pressure ≥50 mmHg (1 point) and resting N-terminal pro-brain natriuretic peptide (NT-proBNP) >900 pg/mL (1 point). The event-free survival probability for low risk (<3 points), intermediate risk (3–6 points), and high risk (>6 points) were 93%, 52%, and 20%, respectively. The area under the curve (AUC) for the scoring system to predict events was 0.92 (95% CI 0.88–0.96), with an accuracy significantly higher than the individual components of the score (all P < 0.01 vs. individual AUCs). Conclusion A weighted risk score including NT-proBNP, markers of cardiopulmonary dysfunction and indices of exercise-induced pulmonary congestion identifies HFpEF patients at increased risk for adverse events and Stage A and B subjects more likely to progress towards more advanced HF stages.