Periodic breathing is a peculiar ventilatory pattern in patients with heart failure (HF), characterized by cyclic oscillations in minute ventilation. This phenomenon has been observed in awake patients, during sleep, and during exercise. Periodic breathing during exercise, also known as exercise oscillatory ventilation (EOV), is an important marker of clinical and functional status, morbidity, and mortality in HF patients. However, a clear understanding of the meaning, causes, and possible occurrence of different forms of EOV is still currently lacking. This review focuses on what is known, likely known, or unknown about EOV in HF, including topics such as the definition of EOV, pathophysiological mechanisms, EOV phenotypes, treatment modalities, and the prognostic role of EOV in patients with HF. Finally, some perspectives on research opportunities and clinical practice are presented, to increase the knowledge of EOV, and the application of tools for its assessment, which may improve the chances of identifying and treating EOV, with a positive impact on patients with HF.