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Exercise capacity is one of the most powerful predicting factors of life expectancy, both in patients with and those without cardiac disease. Cardiopulmonary exercise testing provides a global assessment of the integrative exercise responses involving the pulmonary, cardiovascular, hematopoietic, neuropsychological, and skeletal muscle systems, which are not adequately reflected through the measurement of individual organ system function. This relatively noninvasive, dynamic, physiologic overview allows the evaluation of both submaximal and peak exercise responses, providing the physician with relevant information for clinical decision-making. Chronic heart failure is a significant cause of worldwide mortality and morbidity, whose clinical picture is characterized by exercise intolerance and impaired quality of life. The purpose of this review is to provide an update of the role of cardiopulmonary exercise testing in patients with heart failure with specific comorbidities. Patients with heart failure frequently present concomitant clinical conditions, such as obesity, anemia, lung or kidney disease, diabetes mellitus, cancer, depression, and psychogenic disorders, which could affect length and quality of life, including everyday activities and exercise performance. Poor effort and malingering may be suspected when early discontinuation of the exercise test with irregular breathing occurs.