Exercise intolerance, a hallmark of patients with heart failure (HF), is associated with muscle weakness. However, its causative microcirculatory and muscle characteristics among those with preserved or reduced ejection fraction (HFpEF or HFrEF) phenotype is unclear. The musculoskeletal abnormalities that could result in impaired peripheral microcirculation are sarcopenia and muscle strength reduction in HF, implying lowered oxidative capacity and perfusion affect transport and oxygen utilization during exercise, an essential task from the microvascular muscle function. Besides that, skeletal muscle microcirculatory abnormalities have also been associated with exercise intolerance in HF patients who also present skeletal muscle myopathy. This cross-sectional study aimed to compare the muscle microcirculation dynamics via near-infrared spectroscopy (NIRS) response during an isokinetic muscle strength test and ultrasound-derived parameters (echo intensity was rectus femoris muscle, while the muscle thickness parameter was measured on rectus femoris and quadriceps femoris) in heart failure patients with HFpEF and HFrEF phenotypes and different functional severities (Weber Class A, B, and C). Twenty-eight aged-matched patients with HFpEF (n = 16) and HFrEF (n = 12) were assessed. We found phenotype differences among those with Weber C severity, with HFrEF patients reaching lower oxyhemoglobin (O2Hb, μM) (−10.9 ± 3.8 vs. −23.7 ± 5.7, p = 0.029) during exercise, while HFpEF reached lower O2Hb during the recovery period (−3.0 ± 3.4 vs. 5.9 ± 2.8, p = 0.007). HFpEF with Weber Class C also presented a higher echo intensity than HFrEF patients (29.7 ± 8.4 vs. 15.1 ± 6.8, p = 0.017) among the ultrasound-derived variables. Our preliminary study revealed more pronounced impairments in local microcirculatory dynamics in HFpEF vs. HFrEF patients during a muscle strength exercise, combined with muscle-skeletal abnormalities detected via ultrasound imaging, which may help explain the commonly observed exercise intolerance in HFpEF patients.