Background: In areas where medical resources are scarce, an economical and convenient way to assess patients’ condition so that treatment plans can be adjusted in a timely manner makes sense. The clinical value of systemic inflammatory indexes (SII) such as neutrophil-to-lymphocyte ratio (NLR), lymphocyte-to-monocyte ratio (LMR), albumin-to-gamma-glutamyl-transferase ratio (AGR), white-blood-cell-count-to-mean-platelet-volume ratio (WMR), high-density-lipoprotein-cholesterol-to-C-reactive-protein ratio (HCR), etc. were explored in heart failure (HF) with preserved ejection fraction (HFpEF) because of their easy availability and clinical value in the diagnosis, therapy and prognosis of cardiovascular diseases. Methods: 189 inpatients (including 48 patients with New York Heart Association (NYHA) I in the control group, and 141 patients with NYHA II-IV in the study group) from The First Affiliated Hospital of Jinan University, during the period July 2018 to March 2022, were included by retrieving electronic medical records. Logistic regression analysis, Spearman’s correlation coefficient, operating characteristic curve, etc. were used to analyze the data. Results: In patients with HFpEF, LMR (OR = 0.463, 95% CI 0.348–0.617, p = 0.000), NLR and N-terminal pro-B-type natriuretic peptide (NT-proBNP) were independent predictors for the presence of HF, and LMR (OR = 2.630, 95% CI 2.016–3.435, p = 0.000), NLR, FAG, MHR, AGR and NT-proBNP were independent predictors for increased NYHA functional classification. There were good correlations (r > 0.4) between LMR (r = −0.667, p = 0.000), NLR, WMR, HCR, NT-proBNP (r = −0.681, p = 0.000) and NYHA functional classification, and LMR (AUC = 0.803, 95% CI 0.729–0.849, p = 0.0001), NLR and NT-proBNP (AUC = 0.805, 95% CI 0.738–0.861, p = 0.0001) had good diagnostic values (AUC > 0.7) for HF in patients with HFpEF. In addition, there were certain correlations between LMR, NT-proBNP and echocardiography indicators of cardiac structural. Conclusions: SII have a potential application value in the clinical evaluation of patients with HFpEF in the follow-up, especially in areas with limited medical resources, as they are more convenient and cost effective. Among different SII, LMR is probably the most promising metric. However, large-scale clinical trials are needed in the future to confirm these findings.