Heart failure with preserved ejection fraction (HFPEF) is a common syndrome, accounting for nearly one half of all heart failure patients. It mostly affects the elderly, usually with multiple comorbidities, and has a poor prognosis, with high mortality rates and a significant impact on quality of life. Nevertheless, evidence-based therapeutic strategies for the management of HFPEF are still lacking, and so treatment remains largely empirical. This is probably why current treatment of HFPEF has not led to a significant improvement in prognosis. In this review article we will discuss the pathophysiology of HFPEF and its implications for the best treatment strategies to apply in these patients. We will also review the evidence supporting the use of each therapy in HFPEF. In addition, we will consider how an understanding of the pathophysiology of HFPEF can help in developing new therapeutic strategies that will improve the prognosis of this syndrome. Until new evidence-based clinical data are available, treatment of HFPEF should remain multidisciplinary and individualized to each patient.