Heart failure with preserved ejection fraction (HFpEF) is a growing public health burden, contributing to significant morbidity, mortality, and healthcare costs. Exercise intolerance, a hallmark of HFpEF, stems from central (cardiac and pulmonary) and peripheral (vascular and skeletal muscle) factors that result in reduced oxygen delivery and utilization by active muscles. With relatively few effective therapies, exercise training has emerged as a reliable and proven therapeutic intervention to improve exercise capacity and physical function in HFpEF. This review synthesizes evidence from the existing literature to describe and evaluate various exercise modalities in HFpEF. Moderate-intensity continuous training significantly improves peak oxygen consumption and symptom burden and is supported by a large evidence base in patients with HFpEF. High-intensity interval training has shown potential as an alternative regimen with particular benefit in highly selected populations. Multi-modality regimens and low-intensity training approaches are potentially suitable for patients with limited exercise tolerance or those who are more vulnerable or frail. The addition of resistance training may further improve muscle strength and functional capacity. Integrating exercise interventions with complementary dietary approaches has also shown potential for enhancing exercise capacity response. Lastly, emerging modalities, such as inspiratory muscle training and functional electrical stimulation, offer additional unique options. Despite robust evidence, challenges in the long-term durability of benefits, poor responder rates (~ 1/3 of participants), and implementation persist. Ongoing and future efforts can focus on evaluating long-term clinical outcomes (i.e., mortality and hospitalizations), developing more personalized exercise protocols, and applying sustainable implementation strategies in clinical practice.