Heart failure with preserved ejection fraction (HFpEF) is a condition with increasing incidence, leading to a health care problem of epidemic proportions for which no curative treatments exist. Consequently, an urge exists to better understand the pathophysiology of HFpEF. Accumulating evidence suggests a key pathophysiological role for coronary microvascular dysfunction (MVD), with an underlying mechanism of low-grade pro-inflammatory state caused by systemic comorbidities. The systemic entity of comorbidities and inflammation in HFpEF imply that patients develop HFpEF due to systemic mechanisms causing coronary MVD, or systemic MVD. The absence or presence of peripheral MVD in HFpEF would reflect HFpEF being predominantly a cardiac or a systemic disease. Here, we will review the current state of the art of cardiac and systemic microvascular dysfunction in HFpEF (Graphical Abstract), resulting in future perspectives on new diagnostic modalities and therapeutic strategies.