Heart failure with preserved ejection fraction (HFpEF) is a major cause of morbidity and mortality. Exercise training is an established adjuvant therapy in heart failure; however, the effects of high-intensity interval training (HIIT) in HFpEF are unknown. We compared the effects of HIIT vs. moderate-intensity aerobic continuous training (MI-ACT) on peak oxygen uptake (V̇o2peak), left ventricular diastolic dysfunction, and endothelial function in patients with HFpEF. Nineteen patients with HFpEF (age 70 ± 8.3 yr) were randomized to either HIIT (4 × 4 min at 85-90% peak heart rate, with 3 min active recovery) or MI-ACT (30 min at 70% peak heart rate). Fifteen patients completed exercise training (HIIT: n = 9; MI-ACT: n = 6). Patients trained 3 days/wk for 4 wk. Before and after training patients underwent a treadmill test for V̇o2peak determination, 2D-echocardiography for assessment of left ventricular diastolic dysfunction, and brachial artery flow-mediated dilation (FMD) for assessment of endothelial function. HIIT improved V̇o2peak (pre = 19.2 ± 5.2 ml·kg−1·min−1; post = 21.0 ± 5.2 ml·kg−1·min−1; P = 0.04) and left ventricular diastolic dysfunction grade (pre = 2.1 ± 0.3; post = 1.3 ± 0.7; P = 0.02), but FMD was unchanged (pre = 6.9 ± 3.7%; post = 7.0 ± 4.2%). No changes were observed following MI-ACT. A trend for reduced left atrial volume index was observed following HIIT compared with MI-ACT (−3.3 ± 6.6 vs. +5.8 ± 10.7 ml/m2; P = 0.06). In HFpEF patients 4 wk of HIIT significantly improved V̇o2peak and left ventricular diastolic dysfunction. HIIT may provide a more robust stimulus than MI-ACT for early exercise training adaptations in HFpEF.