Coronary microvascular function and cardiac function are closely related in that proper cardiac function requires adequate oxygen delivery through the coronary microvasculature. Because of the close proximity of cardiomyocytes and coronary microvascular endothelium, cardiomyocytes not only communicate their metabolic needs to the coronary microvasculature, but endothelium-derived factors also directly modulate cardiac function. This review summarizes evidence that the myocardial oxygen balance is disturbed in the failing heart because of increased extravascular compressive forces and coronary microvascular dysfunction. The perturbations in myocardial oxygen balance are exaggerated during exercise and are due to alterations in neurohumoral influences, endothelial function, and oxidative stress. Although there is some evidence from animal studies that the myocardial oxygen balance can partly be restored by exercise training, it is largely unknown to what extent the beneficial effects of exercise training include improvements in endothelial function and/or oxidative stress in the coronary microvasculature and how these improvements are impacted by risk factors such as diabetes, obesity, and hypercholesterolemia.