Among the most prevalent multimorbidities that accompany the aging process, chronic obstructive pulmonary disease (COPD) and chronic heart failure (CHF) stand out, representing the main causes of hospital admissions in the world. The prevalence of COPD coexistence in patients with CHF is higher than in control subjects, given the common risk factors associated with a complex process of chronic diseases developing in the aging process. COPD-CHF coexistence confers a marked negative impact on mechanical-ventilatory, cardiocirculatory, autonomic, gas exchange, muscular, ventilatory, and cerebral blood flow, further impairing the reduced exercise capacity and health status of either condition alone. In this context, integrated approach to the cardiopulmonary based on pharmacological optimization and non-pharmacological treatment (i.e., exercise-based cardiopulmonary and metabolic rehabilitation) can be emphatically encouraged by health professionals as they are safe and well-tolerated, reducing hospital readmissions, morbidity, and mortality. This review aims to explore aerobic exercise, the cornerstone of cardiopulmonary and metabolic rehabilitation, resistance and inspiratory muscle training and exercise-based rehabilitation delivery models in patients with COPD-CHF multimorbidities across the continuum of the disease. In addition, the review address the importance of adjuncts to enhance exercise capacity in these patients, which may be used to optimize the gains obtained in these programs.