Heart failure (HF) affects up to over 20% of patients with type 2 diabetes (T2DM), even more in the elderly. Although, in T2DM, both hyperglycemia and the proinflammatory status induced by insulin resistance are crucial in cardiac function impairment, SGLT2i cardioprotective mechanisms against HF are several. In particular, these beneficial effects seem attributable to the significant reduction of intracellular sodium levels, well-known to exert a cardioprotective role in the prevention of oxidative stress and consequent cardiomyocyte death. From a molecular perspective, patients’ exposure to gliflozins’ treatment mimics nutrient and oxygen deprivation, with consequent autophagy stimulation. This allows to maintain the cellular homeostasis through different degradative pathways. Thus, since their introduction in the clinical practice, the hypotheses on SGLT2i mechanisms of action have changed: from simple glycosuric drugs, with consequent glucose lowering, erythropoiesis enhancing and ketogenesis stimulating, to intracellular sodium-lowering molecules. This provides their consequent cardioprotective effect, which justifies its significant reduction in CV events, especially in populations at higher risk. Finally, the updated clinical evidence of SGLT2i benefits on HF was summarized. Thus, this review aimed to analyze the cardioprotective mechanisms of sodium glucose transporter 2 inhibitors (SGLT2i) in patients with HF, as well as their clinical impact on cardiovascular events.