The incidence of heart failure with preserved ejection fraction (HFpEF) is increasing and its challenging diagnosis and management combines clinical, imagistic and biological data. Natriuretic peptides (NPs) are hormones secreted in response to myocardial stretch that, by increasing cyclic guanosine monophosphate (cGMP), counteract myocardial fibrosis and hypertrophy, increase natriuresis and determine vasodilatation. While their role in HFpEF is controversial, most authors focused on b-type natriuretic peptides (BNPs) and agreed that patients may show lower levels. In this setting, newer molecules with an increased specificity, such as middle-region pro-atrial natriuretic peptide (MR-proANP), emerged as promising markers. Augmenting NP levels, either by NP analogs or breakdown inhibition, could offer a new therapeutic target in HFpEF (already approved in their reduced EF counterparts) by increasing the deficient cGMP levels found in patients. Importantly, these peptides also retain their prognostic value. This narrative review focuses on NPs’ physiology, diagnosis, therapeutic and prognostic implication in HFpEF.