The prevalence of heart failure with preserved ejection fraction (HFpEF) is steadily increasing. Its diagnosis remains difficult and controversial and relies mostly on non-invasive echocardiographic detection of left ventricular diastolic dysfunction and elevated filling pressures. The large phenotypic heterogeneity of HFpEF from pathophysiological underpinnings to clinical manifestations presents a major obstacle to the development of new therapies targeted towards specific HF phenotypes. Recent studies suggest that natriuretic peptides have the potential to improve the diagnosis of early HFpEF, but they still have significant limitations, and the cut-off points for diagnosis and prognosis in HFpEF remain open to debate. The purpose of this review is to present potential targets of intervention in patients with HFpEF, starting with myocardial fibrosis and methods of its detection. In addition, co-morbidities are discussed as a means to treat HFpEF according to cut-points of biomarkers that are different from usual. Biomarkers and approaches to co-morbidities may be able to tailor therapies according to patients’ pathophysiological needs. Recently, soluble source of tumorigenicity 2 (sST2), growth differentiation factor 15 (GDF-15), galectin-3, and other cardiac markers have emerged, but evidence from large cohorts is still lacking. Furthermore, the field of miRNA is a very promising area of research, and further exploration of miRNA may offer diagnostic and prognostic applications and insight into the pathology, pointing to new phenotype-specific therapeutic targets.