Background While exercise impairments are central to symptoms and diagnosis of heart failure with preserved ejection fraction (HFpEF), prior studies of HFpEF biomarkers have mostly focused on resting phenotypes. We combined precise exercise phenotypes with cardiovascular proteomics to identify protein signatures of HFpEF exercise responses and new potential therapeutic targets. Methods and Results We analyzed 277 proteins (Olink) in 151 individuals (N=103 HFpEF, 48 controls; 62±11 years; 56% women) with cardiopulmonary exercise testing with invasive monitoring. Using ridge regression adjusted for age/sex, we defined proteomic signatures of 5 physiological variables involved in HFpEF: peak oxygen uptake, peak cardiac output, pulmonary capillary wedge pressure/cardiac output slope, peak pulmonary vascular resistance, and peak peripheral O ₂ extraction. Multiprotein signatures of each of the exercise phenotypes captured a significant proportion of variance in respective exercise phenotypes. Interrogating the importance (ridge coefficient magnitude) of specific proteins in each signature highlighted proteins with putative links to HFpEF pathophysiology (eg, inflammatory, profibrotic proteins), and novel proteins linked to distinct physiologies (eg, proteins involved in multiorgan [kidney, liver, muscle, adipose] health) were implicated in impaired O ₂ extraction. In a separate sample (N=522, 261 HF events), proteomic signatures of peak oxygen uptake and pulmonary capillary wedge pressure/cardiac output slope were associated with incident HFpEF (odds ratios, 0.67 [95% CI, 0.50–0.90] and 1.43 [95% CI, 1.11–1.85], respectively) with adjustment for clinical factors and B‐type natriuretic peptides. Conclusions The cardiovascular proteome is associated with precision exercise phenotypes in HFpEF, suggesting novel mechanistic targets and potential methods for risk stratification to prevent HFpEF early in its pathogenesis.