Patients with heart failure with reduced (HFrEF) and preserved ejection fraction (HFpEF) exhibit severe exercise intolerance that may be due, in part, to inappropriate cardiovascular and hemodynamic adjustments to exercise. Several neural mechanisms and locally released vasoactive substances work in concert through complex interactions to ensure proper adjustments to meet the metabolic demands of the contracting skeletal muscle. Specifically, accumulating evidence suggests that disease-related alterations in neural mechanisms (e.g., central command, exercise pressor reflex, arterial baroreflex, and cardiopulmonary baroreflex) contribute to heightened sympathetic activation and impaired ability to attenuate sympathetic vasoconstrictor responsiveness that may contribute to reduced skeletal muscle blood flow and severe exercise intolerance in patients with HFrEF. In contrast, little is known regarding these important aspects of physiology in patients with HFpEF, though emerging data reveal heightened sympathetic activation and attenuated skeletal muscle blood flow during exercise in this patient population that may be attributable to dysregulated neural control of the circulation. The overall goal of this review is to provide a brief overview of the current understanding of disease-related alterations in the integrative neural cardiovascular responses to exercise in both HFrEF and HFpEF phenotypes, with a focus on sympathetic nervous system regulation during exercise.