In this narrative review of the current literature, we examine the central and peripheral mechanisms responsible for the exercise intolerance of chronic heart failure and highlight briefly the benefits of exercise training in the treatment of this debilitating disorder. Specifically, we identify the common finding of reduced cardiac output reserve during exercise conditions leading to decreased exercise tolerance. We also reveal that the stroke volume response to exercise varies depending on the individual patient, the presence of mitral regurgitation, and the aetiology of heart failure. Chronic heart failure patients with left ventricular systolic dysfunction appear able to use the Frank-Starling mechanism to compensate (in part) for their decreased contractile reserve. Patients with left ventricular diastolic dysfunction have normal contractile function; however, they are unable to make use of the Frank-Starling mechanism during exercise conditions. We also reveal that pericardial constraint may limit diastolic filling and exercise capacity in patients with chronic heart failure. It appears that interventions that reduce pericardial constraint and mitral regurgitation enhance diastolic filling and increase exercise tolerance. A series of peripheral muscle changes also occur, including changes in muscle mass, cellular structure, energy metabolism, and blood flow. Each of these factors is associated with decreased exercise capacity and the symptoms of chronic heart failure. Exercise training has been shown to improve both central haemodynamics and peripheral muscle function leading to improvements in exercise capacity, functional status, and overall quality of life in patients with chronic heart failure.