More than half of heart failure (HF) patients have concomitant pulmonary hypertension, impacting symptoms and prognosis. The role of exercise in this category of patients is still unclear, probably because of the lack of a clear relationship between exercise and acute and chronic pulmonary artery pressure variations and related changes in symptoms. The limited evidence on this topic is contradictory and hardly comparable due to use of different exercise programmes and pulmonary artery pressure assessment techniques. This is further compounded by different functional and structural classes of HF making definite assessments and interpretations of exercise effect on outcomes difficult. Exercise training programmes were proven beneficial in HF patients; however, the lack of data about their pulmonary haemodynamic effects prevents clear indications on the best exercise types for patients presenting secondary pulmonary hypertension and different HF categories. Indeed, some data suggest that not all HF patients have similar responses to training, leading to either beneficial or detrimental effects, depending on the HF type. Future studies, involving modern technologies such as continuous pulmonary artery pressure monitoring implantable devices, may clarify the current gaps in this field, aiming at patient-tailored exercise training rehabilitation programmes, in order to improve clinical outcomes, quality of life, and hopefully prognosis.