Heart failure with preserved ejection fraction (HFpEF) represents the most common HF phenotype of patients aged > 65 years, with an incidence and a prevalence that are constantly growing. The HFpEF cardinal symptom is exercise intolerance (EI), defined as the impaired ability to perform physical activity and to reach the predicted age-related level of exercise duration in the absence of symptoms—such as fatigue or dyspnea—and is associated with a poor quality of life, a higher number of hospitalizations, and poor outcomes. The evidence of the protective effect between exercise and adverse cardiovascular outcomes is numerous and long-established. Regular exercise is known to reduce cardiovascular events and overall mortality both in apparently healthy individuals and in patients with established cardiovascular disease, representing a cornerstone in the prevention and treatment of many cardio-metabolic conditions. Several studies have investigated the role of exercise in HFpEF patients. The present review aims to dwell upon the effects of exercise on HFpEF. For this purpose, the relevant data from a literature search (PubMed, EMBASE, and Medline) were reviewed. The analysis of these studies underlines the fact that exercise training programs improve the cardiorespiratory performance of HFpEF patients in terms of the increase in peak oxygen uptake, the 6 min walk test distance, and the ventilatory threshold; on the other hand, diastolic or systolic functions are generally unchanged or only partially modified by exercise, suggesting that multiple mechanisms contribute to the improvement of exercise tolerance in HFpEF patients. In conclusion, considering that exercise training programs are able to improve the cardiorespiratory performance of HFpEF patients, the prescription of exercise training programs should be encouraged in stable HFpEF patients, and further research is needed to better elucidate the pathophysiological mechanisms underpinning the beneficial effects described.