Exercise intolerance in heart transplant recipients (HTR) has a multifactorial origin, involving complex interactions among cardiac, neurohormonal, vascular, skeletal muscle and pulmonary abnormalities. However, the role of these abnormalities may differ as a function of time after transplantation and of many other variables. The present review is aimed at evaluating the role of cardiac, pulmonary and muscular factors in limiting maximal aerobic performance of HTR, and the benefits of chronic exercise. Whereas pulmonary function does not seem to affect gas exchange until a critical value of diffusing lung capacity is attained, cardiac and skeletal muscle function deterioration may represent relevant factors limiting maximal and submaximal aerobic performance. Cardiac function is mainly limited by chronotropic incompetence and diastolic dysfunction, whereas muscle activity seems to be limited by impaired oxygen supply as a consequence of the reduced capillary network. The latter may be due to either immunosuppressive regimen or deconditioning. Endurance and strength training may greatly improve muscle function and maximal aerobic performance of HTR, and may also reduce side effects of immunosuppressive therapy and control risk factors for cardiac allograft vasculopathy. For the above reasons exercise should be considered an important therapeutic tool in the long-term treatment of heart transplant recipients.