Heart failure with preserved ejection fraction (HFpEF) now accounts for the majority of new heart failure diagnoses and continues to increase in prevalence in the United States. Importantly, HFpEF is a highly morbid, heterogeneous syndrome lacking effective therapies. Inflammation has emerged as a potential contributor to the pathogenesis of HFpEF. Many of the risk factors for HFpEF are also associated with chronic inflammation, such as obesity, hypertension, aging, and renal dysfunction. A large amount of preclinical evidence suggests that immune cells and their associated cytokines play important roles in mediating fibrosis, oxidative stress, metabolic derangements, and endothelial dysfunction, all potentially important processes in HFpEF. How inflammation contributes to HFpEF pathogenesis, however, remains poorly understood. Recently, a variety of preclinical models have emerged which may yield much needed insights into the causal relationships between risk factors and the development of HFpEF, including the role of specific immune cell subsets or inflammatory pathways. Here, we review evidence in animal models and humans implicating inflammation as a mediator of HFpEF and identify gaps in knowledge requiring further study. As the understanding between inflammation and HFpEF evolves, it is hoped that a better understanding of the mechanisms underlying immune cell activation in HFpEF can open up new therapeutic avenues.