One of the primary hallmarks of patients diagnosed with heart failure (HF) is a reduced tolerance to exercise and compromised functional capacity. This limitation stems from poor pumping capacity but also major changes in functioning of the vasculature, skeletal muscle, and respiratory systems. Advances in the understanding of the central and peripheral mechanisms of exercise intolerance during HF are critical for the future design of therapeutic modalities devised to improve outcomes. The interrelatedness between systems cannot be discounted. This review summarizes the current literature related to the pathophysiology of HF contributing to poor exercise tolerance, and potential mechanisms involved.