Systemic inflammation and coronary microvascular endothelial dysfunction are essential pathophysiological factors in heart failure with preserved ejection fraction (HFpEF) that support the use of statins. The pleiotropic properties of statins, such as anti-inflammatory, antihypertrophic, antifibrotic, and antioxidant effects, are generally accepted and may be beneficial in HF, especially in HFpEF. Numerous observational clinical trials have consistently shown a beneficial prognostic effect of statins in patients with HFpEF, while the results of two larger trials in patients with HFrEF have been controversial. Such differences may be related to a more pronounced impact of the pleiotropic properties of statins on the pathophysiology of HFpEF and pro-inflammatory comorbidities (arterial hypertension, diabetes mellitus, obesity, chronic kidney disease) that are more common in HFpEF. This review discusses the potential mechanisms of statin action that may be beneficial for patients with HFpEF, as well as clinical trials that have evaluated the statin effects on left ventricular diastolic function and clinical outcomes in patients with HFpEF.