Coronary microvascular dysfunction (CMD) plays a crucial role across the spectrum of heart failure (HF) pathology, contributing to disease development, progression, and outcomes. The pathophysiological mechanisms linking CMD to HF are complex and still not completely understood and include chronic inflammation, oxidative stress, and neurohormonal activation. Despite the diagnostic and prognostic relevance in patients with HF, there is no specific therapeutic strategy targeting CMD to date. Moreover, the diagnosis of this clinical condition is challenging. In this review article, we aim to discuss the different clinical pathogenetic mechanisms linking CMD to HF across the different spectra of these diseases, their prognostic relevance, and the possible therapeutic targets along with the remaining knowledge gaps in the field.