Approximately 50% of patients with heart failure have preserved ejection fraction. Although a wide variety of conditions cause or contribute to heart failure with preserved ejection fraction, elevated left ventricular filling pressures, particularly during exercise, are common to all causes. Acute elevation in left-sided filling pressures promotes lung congestion and symptoms of dyspnea, while chronic elevations often lead to pulmonary vascular remodeling, right heart failure, and increased risk of mortality. Pharmacologic therapies, including neurohormonal modulation and drugs that modify the nitric oxide/cyclic GMP-protein kinase G pathway have thus far been limited in reducing symptoms or improving outcomes in patients with heart failure with preserved ejection fraction. Hence, alternative means of reducing the detrimental rise in left-sided heart pressures are being explored. One proposed method of achieving this is to create an interatrial shunt, thus unloading the left heart at rest and during exercise. Currently available studies have shown 3- to 5-mm Hg decreases of pulmonary capillary wedge pressure during exercise despite increased workload. The mechanisms underlying the hemodynamic changes are just starting to be understood. In this review we summarize results of recent studies aimed at elucidating the potential mechanisms of improved hemodynamics during exercise tolerance following interatrial shunt implantation and the current interatrial shunt devices under investigation.