Heart failure with preserved ejection fraction (HFpEF) represents a complex clinical syndrome, often very difficult to diagnose using the available tools. As the global burden of this disease is constantly growing, surpassing the prevalence of heart failure with reduced ejection fraction, during the last few years, efforts have focused on optimizing the diagnostic and prognostic pathways using an immense panel of circulating biomarkers. After the paradigm of HFpEF development emerged more than 10 years ago, suggesting the impact of multiple comorbidities on myocardial structure and function, several phenotypes of HFpEF have been characterized, with an attempt to find an ideal biomarker for each distinct pathophysiological pathway. Acknowledging the limitations of natriuretic peptides, hundreds of potential biomarkers have been evaluated, some of them demonstrating encouraging results. Among these, soluble suppression of tumorigenesis-2 reflecting myocardial remodeling, growth differentiation factor 15 as a marker of inflammation and albuminuria as a result of kidney dysfunction or, more recently, several circulating microRNAs have proved their incremental value. As the number of emerging biomarkers in HFpEF is rapidly expanding, in this review, we aim to explore the most promising available biomarkers linked to key pathophysiological mechanisms in HFpEF, outlining their utility for diagnosis, risk stratification and population screening, as well as their limitations.