Heart failure is a complex clinical syndrome that continues to be a leading cause of cardiovascular morbidity and mortality around the world. Despite major advances in its treatment and management, the rate of hospitalization and mortality has remained unchanged in the past decade. Heart failure with preserved ejection fraction (HFpEF) accounts for more than half of all incident-based hospital admissions for decompensated heart failure and represents a global healthcare problem. Moreover, its incidence rate among all heart failures is increasing, and survival rates are significantly <50% at 5 years. Importantly, HFpEF disproportionately affects women after menopause, with female sex being independently associated with the prevalence of HFpEF and worse outcomes. The pathophysiology and critical molecular mechanisms underlying the progression of the abnormalities of this multifaceted syndrome are incompletely understood, and no evidence-based and target-directed treatment is available to prevent or cure its structural and functional myocardial dysfunction. To overcome this knowledge gap and develop targeted HFpEF therapies, animal models remain at the forefront of cutting-edge research studies. However, this is complicated by the lack of suitable animal models available that recapitulate the HFpEF phenotype in both sexes. This narrative review provides an overview of clinical features of the disease in both sexes and details carefully selected animal models with a particular focus on their ability to replicate sex-based differences.