Clinical consequences of heart failure are fatigue, dyspnea, and progressive impairment of exercise tolerance. Regular exercise training is associated with health-improving effects. In patients with stable heart failure, exercise training can relieve symptoms, improve exercise capacity and quality of life, as well as reduce hospitalization and, to some extent, risk of mortality. Progressive exercise training is associated with pulmonary, cardiovascular, and skeletal muscle metabolic adaptations that increase oxygen delivery and energy production. This Review focuses on current knowledge of mechanisms by which progressive and moderate exercise training can have sustained beneficial effects on patients with heart failure.