Despite the constant improvement of therapeutical options, heart failure (HF) remains associated with high mortality and morbidity. While new developments in guideline-recommended therapies can prolong survival and postpone HF hospitalizations, impaired exercise capacity remains one of the most debilitating symptoms of HF. Exercise intolerance in HF is multifactorial in origin, as the underlying cardiovascular pathology and reactive changes in skeletal muscle composition and metabolism both contribute. Recently, sodium-related glucose transporter 2 (SGLT2) inhibitors were found to improve cardiovascular outcomes significantly. Whilst much effort has been devoted to untangling the mechanisms responsible for these cardiovascular benefits of SGLT2 inhibitors, little is known about the effect of SGLT2 inhibitors on exercise performance in HF. This review provides an overview of the pathophysiological mechanisms that are responsible for exercise intolerance in HF, elaborates on the potential SGLT2-inhibitor-mediated effects on these phenomena, and provides an up-to-date overview of existing studies on the effect of SGLT2 inhibitors on clinical outcome parameters that are relevant to the assessment of exercise capacity. Finally, current gaps in the evidence and potential future perspectives on the effects of SGLT2 inhibitors on exercise intolerance in chronic HF are discussed.