Obesity represents one of the most common comorbidities in patients with heart failure and preserved ejection fraction (HFpEF). Studies have shown that obesity is not only a comorbidity, but it could also be an important risk factor for HFpEF development. The mechanisms that connect obesity and HFpEF vary from obesity-induced hemodynamic changes to important biohumoral systems such as adipocitokines, renin–angiotensin–aldosterone and sympathetic nervous systems, natriuretic peptide, and oxidative stress. Studies agree about the negative influence of morbid obesity on cardiac remodeling and HFpEF development. However, there is still no agreement regarding the relationship between body mass index, as the most commonly used parameter of obesity, and HFpEF incidence or outcome in patients who already have HFpEF. The relationship varies from the linear to the U-shaped and, therefore, the “obesity paradox,” which refers to the reduced risk in mildly overweight subjects in comparison with normal and underweight individuals, deserves more attention not only in the research but also in the clinical approach to these patients. In the absence of a satisfactory pharmacological approach, which would improve the outcome of this large group of patients, alternative methods such as weight loss and physical activity seem to provide encouraging results. This review article provides a clinical overview of the available data about the mechanisms that connect obesity and HFpEF, the most relevant studies on this topic, clinical relevance of the obesity paradox, and the therapeutic approach including weight loss and physical activity in obese patients with HFpEF.