(1) Background: Heart failure (HF) with preserved ejection fraction (HFpEF) accounts for approximately 50% of all patients with HF. In the absence of pharmacological treatments that have been successful in reducing mortality or morbidity in this pathology, physical exercise is recognized as an important adjunct in the treatment of HF. Therefore, the objective of this study is to compare the efficacy of combined training and high intensity interval training (HIIT) on exercise capacity, diastolic function, endothelial function, and arterial stiffness in participants with HFpEF. (2) Methods: The ExIC-FEp study will be a single-blind, 3-arm, randomized clinical trial (RCT) conducted at the Health and Social Research Center of the University of Castilla-La Mancha. Participants with HFpEF will be randomly assigned (1:1:1) to the combined exercise, HIIT or control group to evaluate the efficacy of physical exercise programs on exercise capacity, diastolic function, endothelial function, and arterial stiffness. All participants will be examined at baseline, at three months and at six months. (3) Results: The findings of this study will be published in a peer-reviewed journal. (4) Conclusions: This RCT will represent a significant advance in the available scientific evidence on the efficacy of physical exercise in the treatment of HFpEF.