(1) Background: There are no successive treatments for heart failure with preserved ejection fraction (HFpEF) because of complex interactions between environmental, histological, and genetic risk factors. The objective of the study is to investigate changes in cardiomyocytes and molecular networks associated with HFpEF. (2) Methods: Dahl salt-sensitive (DSS) rats developed HFpEF when fed with a high-salt (HS) diet for 7 weeks, which was confirmed by in vivo and ex vivo measurements. Shotgun proteomics, microarray, Western blot, and quantitative RT-PCR analyses were further carried out to investigate cellular and molecular mechanisms. (3) Results: Rats with HFpEF showed diastolic dysfunction, impaired systolic function, and prolonged repolarization of myocytes, owing to an increase in cell size and apoptosis of myocytes. Heatmap of multi-omics further showed significant differences between rats with HFpEF and controls. Gene Set Enrichment Analysis (GSEA) of multi-omics revealed genetic risk factors involved in cardiac muscle contraction, proteasome, B cell receptor signaling, and p53 signaling pathway. Gene Ontology (GO) analysis of multi-omics showed the inflammatory response and mitochondrial fission as top biological processes that may deteriorate myocyte stiffening. GO analysis of protein-to-protein network indicated cytoskeleton protein, cell fraction, enzyme binding, and ATP binding as the top enriched molecular functions. Western blot validated upregulated Mff and Itga9 and downregulated Map1lc3a in the HS group, which likely contributed to accumulation of aberrant mitochondria to increase ROS and elevation of myocyte stiffness, and subsequent contractile dysfunction and myocardial apoptosis. (4) Conclusions: Multi-omics analysis revealed multiple pathways associated with HFpEF. This study shows insight into molecular mechanisms for the development of HFpEF and may provide potential targets for the treatment of HFpEF.