Type 2 diabetes mellitus (T2DM or T2D) is a devastating metabolic abnormality featured by insulin resistance, hyperglycemia, and hyperlipidemia. T2D provokes unique metabolic changes and compromises cardiovascular geometry and function. Meanwhile, T2D increases the overall risk for heart failure (HF) and acts independent of classical risk factors including coronary artery disease, hypertension, and valvular heart diseases. The incidence of HF is extremely high in patients with T2D and is manifested as HF with preserved, reduced, and midrange ejection fraction (HFpEF, HFrEF, and HFmrEF, respectively), all of which significantly worsen the prognosis for T2D. HFpEF is seen in approximately half of the HF cases and is defined as a heterogenous syndrome with discrete phenotypes, particularly in close association with metabolic syndrome. Nonetheless, management of HFpEF in T2D remains unclear, largely due to the poorly defined pathophysiology behind HFpEF. Here, in this review, we will summarize findings from multiple preclinical and clinical studies as well as recent clinical trials, mainly focusing on the pathophysiology, potential mechanisms, and therapies of HFpEF in T2D.