The sympathetic nervous system coordinates the cardiovascular response to exercise. This regulation is impaired in both experimental and human heart failure with reduced ejection fraction (HFrEF), resulting in a state of sympathoexcitation which limits exercise capacity and contributes to adverse outcome. Exercise training can moderate sympathetic excess at rest. Recording sympathetic nerve firing during exercise is more challenging. Hence, data acquired during exercise are scant and results vary according to exercise modality. In this review we will: (1) describe sympathetic activity during various exercise modes in both experimental and human HFrEF and consider factors which influence these responses; and (2) summarise the effect of exercise training on sympathetic outflow both at rest and during exercise in both animal models and human HFrEF. We will particularly highlight studies in humans which report direct measurements of efferent sympathetic nerve traffic using intraneural recordings. Future research is required to clarify the neural afferent mechanisms which contribute to efferent sympathetic activation during exercise in HFrEF, how this may be altered by exercise training, and the impact of such attenuation on cardiac and renal function.