Heart failure with preserved ejection fraction (HFpEF) is a condition that develops in the course of many diseases and conditions, and its pathophysiology is still not well understood, but the involvement of programmed types of cell death in the development of this type of heart failure is becoming increasingly certain. In addition, drugs already widely used in clinical practice, with a good safety profile and efficacy demonstrated in large-group clinical trials, seem to be exerting their beneficial effects on cardiovascular health. Perhaps new drugs that reduce the susceptibility of cells to programmed types of cell death are under investigation and may improve the prognosis of patients with HFpEF. In this article, we summarize the current knowledge about the pathogenesis of HFpEF and the role of programmed types of cell death in its development. Additionally, we have described the future directions of research that may lead to the improvement of a patient’s prognosis and potential treatment.