Heart failure (HF) is a complex clinical syndrome characterized by different etiologies and a broad spectrum of cardiac structural and functional abnormalities. Current guidelines suggest a classification based on left ventricular ejection fraction (LVEF), distinguishing HF with reduced (HFrEF) from preserved (HFpEF) LVEF. HF should also be thought of as a continuous range of conditions, from asymptomatic stages to clinically manifest syndrome. The transition from one stage to the next is associated with a worse prognosis. While the rate of HF-related hospitalization is similar in HFrEF and HFpEF once clinical manifestations occur, accurate knowledge of the steps and risk factors leading to HF progression is still lacking, especially in HFpEF. Precise hemodynamic and metabolic characterization of patients with or at risk of HF may help identify different disease trajectories and risk factors, with the potential to identify specific treatment targets that might offset the slippery slope towards overt clinical manifestations. Exercise can unravel early metabolic and hemodynamic alterations that might be silent at rest, potentially leading to improved risk stratification and more effective treatment strategies. Cardiopulmonary exercise testing (CPET) offers valuable aid to investigate functional alterations in subjects with or at risk of HF, while echocardiography can assess cardiac structure and function objectively, both at rest and during exercise (exercise stress echocardiography [ESE]). The purpose of this narrative review was to summarize the potential advantages of using an integrated CPET-ESE evaluation in the characterization of both subjects at risk of developing HF and patients with stable HF.