Heart failure treatment depends on several drugs, all providing improvement in outcome, but that cannot be realistically used all together in the same patient. It would be useful to have a tool that allows the arrangement of the most appropriate therapy cocktail for each patient. The aim of this article is to show the main differences in the effects of several drugs on cardiopulmonary function in patients with heart failure, both while resting and during exercise, and to discuss how these differences can be taken into account when choosing the most appropriate therapeutic protocol. In summary, angiotensin-converting enzyme inhibitors and angiotensin II receptor blockers act synergistically to increase exercise capacity and peak oxygen uptake, but through different mechanisms: the former improving lung diffusion and exercise ventilatory efficiency, an action that is counteracted by concomitant aspirin therapy, and the latter probably by improving muscle perfusion. As for β-blockers, nonselective compounds, such as carvedilol, improve ventilation efficiency on the one hand, but interfere with lung diffusion on the other, and they are probably less tolerated under hypoxic conditions. On the contrary, β1-selective compounds, such as bisoprolol or nebivolol, have a neutral effect on both lung diffusion and ventilation efficiency. These observations could be the basis for the choice of pharmacological therapy in patients with heart failure.