Heart failure with preserved ejection fraction (HFpEF) often coexists with chronic kidney disease (CKD). Exercise intolerance is a major determinant of quality of life and morbidity in both scenarios. We aimed to evaluate the associations between N-terminal pro-B-type natriuretic peptide (NT-proBNP) and carbohydrate antigen 125 (CA125) with maximal aerobic capacity (peak VO2) in ambulatory HFpEF and whether these associations were influenced by kidney function. This single-centre study prospectively enrolled 133 patients with HFpEF who performed maximal cardiopulmonary exercise testing. Patients were stratified across estimated glomerular filtration rate (eGFR) categories (<60ml/min/1.73m2 versus ≥60ml/min/1.73m2). The mean age of the sample was 73.2±10.5years and 56.4% were female. The median of peak VO2 was 11.0ml/kg/min (interquartile range 9.0-13.0). A total of 67 (50.4%) patients had an eGFR <60ml/min/1.73m2. Those patients had higher levels of NT-proBNP and lower peak VO2, without differences in CA125. In the whole sample, NT-proBNP and CA125 were inversely correlated with peak VO2 (r=-0.43, P<.001 and r=-0.22, P=.010, respectively). After multivariate analysis, we found a differential association between NT-proBNP and peak VO2 across eGFR strata (P for interaction=.045). In patients with an eGFR ≥60ml/min/1.73m2, higher NT-proBNP identified patients with poorer maximal functional capacity. In individuals with eGFR <60ml/min/1.73m2, NT-proBNP was not significantly associated with peak VO2 [β=0.02 (95% confidence interval -0.19-0.23), P=.834]. Higher CA125 was linear and significantly associated with worse functional capacity without evidence of heterogeneity across eGFR strata (P for interaction=.620). In patients with stable HFpEF, NT-proBNP was not associated with maximal functional capacity when CKD was present. CA125 emerged as a useful biomarker for estimating effort intolerance in HFpEF irrespective of the presence of CKD.