Exercise intolerance is the cardinal symptom of heart failure (HF) and is of crucial relevance, because it is associated with a poor quality of life and increased mortality. While impaired cardiac reserve is considered to be central in HF, reduced exercise and functional capacity are the result of key patient characteristics and multisystem dysfunction, including aging, impaired pulmonary reserve, as well as peripheral and respiratory skeletal muscle dysfunction. We herein review the different modalities to quantify exercise intolerance, the pathophysiology of HF, and comorbid conditions as they lead to reductions in exercise and functional capacity, highlighting the fact that distinct causes may coexist and variably contribute to exercise intolerance in patients with HF.