The pathophysiology of heart failure with preserved ejection fraction (HFpEF) is poorly understood and therapeutic strategies are lacking. This study aimed to identify plasma proteins with pathophysiological relevance in HFpEF and with respect to spironolactone-induced effects. We assessed 92 biomarkers in plasma samples from 386 HFpEF patients—belonging to the Aldo-DHF trial—before (baseline, BL) and after one-year treatment (follow up, FU) with spironolactone (verum) or a placebo. At BL, various biomarkers showed significant associations with the two Aldo-DHF primary end point parameters: 33 with E/e’ and 20 with peak VO2. Ten proteins including adrenomedullin, FGF23 and inflammatory peptides (e.g., TNFRSF11A, TRAILR2) were significantly associated with both parameters, suggesting a role in the clinical HFpEF presentation. For 13 proteins, expression changes from BL to FU were significantly different between verum and placebo. Among them were renin, growth hormone, adrenomedullin and inflammatory proteins (e.g., TNFRSF11A, IL18 and IL4RA), indicating distinct spironolactone-mediated effects. BL levels of five proteins, e.g., inflammatory markers such as CCL17, IL4RA and IL1ra, showed significantly different effects on the instantaneous risk for hospitalization between verum and placebo. This study identified plasma proteins with different implications in HFpEF and following spironolactone treatment. Future studies need to define their precise mechanistic involvement.