Chronic heart failure (CHF) is one of principal health problems in industrialized countries. Despite therapeutical improvement, based on drugs and exercise training, it is still characterized by elevated mortality and morbidity. Data show that protein energy malnutrition, clinically evident primarily with sarcopenia, is present in more than 50% of CHF patients and is an independent factor of CHF prognosis. Several pathophysiological mechanisms, primarily due to the increase in blood hypercatabolic molecules, have been proposed to explain this phenomenon. Nutritional supplementation with proteins, amino acids, vitamins and antioxidants have all been used to treat malnutrition. However, the success and efficacy of these procedures are often contradictory and not conclusive. Interestingly, data on exercise training show that exercise reduces mortality and increases functional capacity, although it also increases the catabolic state with energy expenditure and nitrogen-providing substrate needs. Therefore, this paper discusses the molecular mechanisms of specific nutritional supplementation and exercise training that may improve anabolic pathways. In our opinion, the relationship between exercise and the mTOR complex subunit as Deptor and/or related signaling proteins, such as AMPK or sestrin, is pivotal. Consequently, concomitantly with traditional medical therapies, we have proposed a combination of personalized and integrated nutritional supplementation, as well as exercise to treat malnutrition, and anthropometric and functional CHF-related disorders.