Heart failure (HF) with preserved ejection fraction (HFpEF) is a multi-organ, systemic syndrome that involves multiple cardiac and extracardiac pathophysiologic abnormalities. Because HFpEF is a heterogeneous syndrome and resistant to a “one-size-fits-all” approach it has proven to be very difficult to treat. For this reason, several research groups have been working on methods for classifying HFpEF and testing targeted therapeutics for the HFpEF subtypes identified. Apart from conventional classification strategies based on comorbidity, etiology, left ventricular remodeling, and hemodynamic subtypes, researchers have been combining deep phenotyping with innovative analytical strategies (e.g., machine learning) to classify HFpEF into therapeutically homogeneous subtypes over the past few years. Despite the growing excitement for such approaches, there are several potential pitfalls to their use, and there is a pressing need to follow up on data-driven HFpEF subtypes in order to determine their underlying mechanisms and molecular basis. Here we provide a framework for understanding the phenotype-based approach to HFpEF by reviewing (1) the historical context of HFpEF; (2) the current HFpEF paradigm of comorbidity-induced inflammation and endothelial dysfunction; (3) various methods of sub-phenotyping HFpEF; (4) comorbidity-based classification and treatment of HFpEF; (5) machine learning approaches to classifying HFpEF; (6) examples from HFpEF clinical trials; and (7) the future of phenomapping (machine learning and other advanced analytics) for the classification of HFpEF.