The aim of this study was to identify the potential influence of obesity and body mass components on exercise tolerance assessed in cardiopulmonary exercise testing (CPET), biochemical and echocardiographic parameters and factors correlated with oxygen absorption at the anaerobic threshold in hypertensive women with low levels of physical activity in the perimenopausal period. The study comprised 188 hypertensive women divided, based on body mass index (BMI), into an obesity group and a non-obesity group. Women with BMI ≥ 30 kg/m2 had significantly higher parameters of left ventricular diastolic dysfunction in echocardiography, lower total body water (TBC) in percentage assessed by bioimpedance and significantly worse exercise capacity assessed by CPET. In the study group, VO2 AT (mL/kg/min) correlated positively with TBW (r = 0.4, p < 0.0001) and with the ratio of extracellular water to total body water (ECW/TBW) (r = 0.4, p < 0.00001) and negatively with fat (% and kg) (r = −0.4, p < 0.0001 for both). Obesity negatively affects parameters of diastolic left ventricular function, as well as exercise tolerance in CPET in hypertensive females during the perimenopausal period. The oxygen uptake at anaerobic threshold correlates positively with total body water and ECW/TBW and negatively with body fat; this connection is more pronounced in women without obesity. ClinicalTrials.gov Identifier: NCT04802369.