Heart failure with preserved ejection fraction (HFpEF) accounts for approximately 50% of all heart failure (HF) cases and is the fastest growing form of HF in the United States. The cornerstone symptom of clinically stable HFpEF is severe exercise intolerance (defined as reduced peak exercise oxygen uptake, VO2peak) secondary to central and peripheral abnormalities that result in reduced oxygen delivery to and/or use by exercising skeletal muscle. To date, pharmacotherapy has not been shown to improve VO2peak, quality of life, and survival in patients with HFpEF. In contrast, exercise training is currently the only efficacious treatment strategy to improve VO2peak, aerobic endurance, and quality of life in patients with HFpEF. In this updated review, we discuss the specific central and peripheral mechanisms that are responsible for the impaired exercise responses as well as the role of exercise training to improve VO2peak in clinically stable patients with HFpEF. We also discuss the central and peripheral adaptations that contribute to the exercise training-mediated improvement in VO2peak in HFpEF. Finally, we provide clinical exercise physiologists with evidence-based exercise prescription guidelines to assist with the safe implementation of exercise-based cardiac rehabilitation programs in clinically stable patients with HFpEF.