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Heart Failure (HF), a common end point for many cardiovascular diseases, is a syndrome with a very poor prognosis. Although clinical trials in HF have achieved important outcomes in reducing mortality, little is known about functional mechanisms conditioning health improvement in HF patients. In parallel with clinical studies, basic science has been providing important discoveries to understand the mechanisms underlying the pathophysiology of HF, as well as to identify potential targets for the treatment of this syndrome. In spite of being the end-point of cardiovascular derangements caused by different etiologies, autonomic dysfunction, sympathetic hyperactivity, oxidative stress, inflammation and hormonal activation are common factors involved in the progression of this syndrome. Together these causal factors create a closed link between three important organs: brain, heart and the skeletal muscle. In the past few years, we and other groups have studied the beneficial effects of aerobic exercise training as a safe therapy to avoid the progression of HF. As summarized in this chapter, exercise training, a non-pharmacological tool without side effects, corrects most of the HF-induced neurohormonal and local dysfunctions within the brain, heart and skeletal muscles. These adaptive responses reverse oxidative stress, reduce inflammation, ameliorate neurohormonal control and improve both cardiovascular and skeletal muscle function, thus increasing the quality of life and reducing patients' morbimortality.