The identification of individuals who are at high risk of chronic heart failure (HF) is a medical art of growing concern. Cardiopulmonary exercise stress testing (CPX) has become an important clinical tool to predict outcome. The value of peak oxygen consumption rests in the fact that it integrates elements of cardiac adaptations, and skeletal muscle, pulmonary, and endothelial dysfunctions more than other traditional prognostic indicators of chronic HF. Recently, exercise-related ventilatory abnormalities have gained attention, stimulating scientific debate and an innovative perspective. This review, through a critical examination of previous experiences, will focus on the prognostic application of CPX, defining a proficient outline of treatment for the individual patient.