The definition of heart failure with preserved ejection fraction (HFpEF) has evolved from a clinically based “diagnosis of exclusion” to definitions focused on objective evidence of diastolic dysfunction and/or elevated left ventricular filling pressures. Despite advances in our understanding of HFpEF pathophysiology and the development of more sophisticated imaging modalities, the diagnosis of HFpEF remains challenging, especially in the chronic setting, given that symptoms are provoked by exertion and diagnostic evaluation is largely conducted at rest. Invasive hemodynamic study, and in particular — invasive exercise testing, is considered the reference method for HFpEF diagnosis. However, its use is limited as opposed to the high number of patients with suspected HFpEF. Thus, diagnostic criteria for HFpEF should be principally based on non-invasive measurements. As no single non-invasive variable can adequately corroborate or refute the diagnosis, different combinations of clinical, echocardiographic, and/or biochemical parameters have been introduced. Recent years have brought an abundance of HFpEF definitions. Here, we present and compare four of them: 1) the 2016 European Society of Cardiology criteria for HFpEF; 2) the 2016 echocardiographic algorithm for diagnosing diastolic dysfunction; 3) the 2018 evidence-based H2FPEF score; and 4) the most recent, 2019 Heart Failure Association HFA-PEFF algorithm. These definitions vary in their approach to diagnosis, as well as sensitivity and specificity. Further studies to validate and compare the diagnostic accuracy of HFpEF definitions are warranted. Nevertheless, it seems that the best HFpEF definition would originate from a randomized clinical trial showing a favorable effect of an intervention on prognosis in HFpEF.