Heart failure with preserved ejection fraction (HFpEF) is increasing in prevalence worldwide, already accounting for at least half of all cases of heart failure. As most patients with HFpEF are obese with metabolic syndrome, metabolic stress has been implicated in syndrome pathogenesis. Recently, compelling evidence for bidirectional cross-talk between metabolic stress and chronic inflammation has emerged, and alterations in systemic and cardiac immune responses have been shown to participate in HFpEF pathophysiology. Indeed, based on both preclinical and clinical evidence, comorbidity-driven systemic inflammation, coupled with metabolic stress is held to participate in HFpEF pathogenesis. As metabolic alterations impact immune function(s) in HFpEF, major changes in immune cell metabolism are also recognized in HFpEF and in HFpEF-predisposing conditions. Both arms of immunity—innate and adaptive—are implicated in the cardiomyocyte response in HFpEF. Indeed, we submit that cross-talk among adipose tissue, the immune system and the heart represents a critical component of HFpEF pathobiology. Here, we review recent evidence in support of immunometabolic mechanisms as drivers of HFpEF pathogenesis, discuss pivotal biological mechanisms underlying the syndrome, and highlight questions requiring additional inquiry.