Exercise intolerance, exertional dyspnea, reduced health-related quality of life, and acute exacerbations are features characteristic of chronic obstructive pulmonary disease (COPD). Patients with a primary diagnosis of COPD often report comorbidities and other secondary manifestations, which diversifies the clinical presentation. Pulmonary rehabilitation that includes whole body exercise training is a critical part of management, and core programs involve endurance and resistance training for the upper and lower limbs. Improvement in maximal and submaximal exercise capacity, dyspnea, fatigue, health-related quality of life, and psychological symptoms are outcomes associated with exercise training in pulmonary rehabilitation, irrespective of the clinical state in which it is commenced. There may be benefits for the health care system as well as the individual patient, with fewer exacerbations and subsequent hospitalization reported with exercise training. The varying clinical profile of COPD may direct the need for modification to traditional training strategies for some patients. Interval training, one-legged cycling (partitioning) and non-linear periodized training appear to be equally or more effective than continuous training. Inspiratory muscle training may have a role as an adjunct to whole body training in selected patients. The benefits of balance training are also emerging. Strategies to ensure that health enhancing behaviors are adopted and maintained are essential. These may include training for an extended duration, alternative environments to undertake the initial program, maintenance programs following initial exercise training, program repetition, and incorporation of approaches to address behavioral change. This may be complemented by methods designed to maximize uptake and completion of a pulmonary rehabilitation program.