Background: Heart failure with reduced ejection fraction (HFrEF) frequently coexists with chronic obstructive pulmonary disease (COPD), and both conditions share symptoms such as exertional dyspnea. The cardiopulmonary exercise test (CPET) is an essential tool for assessing ventilatory and cardiovascular function and plays a key role in the differential diagnosis of dyspnea. However, the impact of exercise modality on the ventilatory and cardiovascular parameters obtained remains unclear in these groups. Our aim is to compare the oxygen consumption (V^·O₂) and breathing reserve (BR) values obtained from CPET on a treadmill and a cycle ergometer in patients with HFrEF-COPD and those with HFrEF alone. Methods: A prospective observational study included 65 patients with HFrEF (LVEF ≤ 40%), 18 of whom had COPD. Two CPETs were performed, the first on a treadmill and the second 48–72 h later on a cycle ergometer. Results: In the group with HFrEF-COPD, peak oxygen consumption (VO₂/kg) and maximum ventilation (VE) values were significantly higher on the treadmill (20 ± 5 vs. 17 ± 4 mL/kg/min, p < 0.001 and 55 ± 19 vs. 45 ± 11 L/min, p < 0.001, respectively), while breathing reserve (BR%) was lower on the treadmill (16 ± 21 vs. 33 ± 20, p < 0.001). Compared to the HFrEF group, patients with HFrEF-COPD had a lower BR in both exercise modalities (p = 0.01). Conclusions: Treadmill CPET demonstrates greater oxygen consumption and a more pronounced ventilatory response. BR is consolidated as a differential parameter in ventilatory limitation. The choice of exercise modality should be considered based on the underlying pathologies and the objective of the test.