Risk stratification is a mainstay in the care of cardiac and pulmonary disorders, as the identification of adverse outcomes helps provide measures to improve survival and quality of life. The cardiopulmonary exercise test is a useful prognostic tool in the clinical evaluation of several pathological conditions, such as heart diseases, respiratory disorders, and pulmonary hypertension. If not contraindicated, a cardiopulmonary exercise test should always be performed and integrated with clinical, laboratory, and hemodynamic parameters to better stratify patient risk. In heart failure, the cardiopulmonary exercise test is important in all the stages of patient management, from diagnosis to risk assessment. Different exercise variables have been advocated as prognostic indicators in this condition, including peak oxygen uptake, ventilatory efficiency, respiratory patterns, and identification of the anaerobic threshold. The prognostic role of the cardiopulmonary exercise test in heart failure is amplified when included in multiparametric risk stratification methodology, currently considered the best method to assess patient outcome. In respiratory disorders and in pulmonary hypertension, cardiopulmonary exercise test parameters, focusing on ventilatory performance during exercise, may help evaluate the risk of adverse events. Finally, the cardiopulmonary exercise test may help define the presence of coexisting cardiac and respiratory disorders, a combination that leads to increased rates of disability and mortality.