Objective: To evaluate the behavior of oxygen saturation curves throughout the six-minute walk test (6MWT) in patients with COPD. Methods: We included 85 patients, all of whom underwent spirometry and were classified as having moderate COPD (modCOPD, n = 30) or severe COPD (sevCOPD, n = 55). All of the patients performed a 6MWT, in a 27-m corridor with continuous SpO2 and HR monitoring by telemetry. We studied the SpO2 curves in order to determine the time to a 4% decrease in SpO2, the time to the minimum SpO2 (Tmin), and the post-6MWT time to return to the initial SpO2, the last designated recovery time (RT). For each of those curves, we calculated the slope. Results: The mean age in the modCOPD and sevCOPD groups was 66 ± 10 years and 62 ± 11 years, respectively. At baseline, SpO2 was > 94% in all of the patients; none received supplemental oxygen during the 6MWT; and none of the tests were interrupted. The six-minute walk distance did not differ significantly between the groups. The SpO2 values were lowest in the sevCOPD group. There was no difference between the groups regarding RT. In 71% and 63% of the sevCOPD and modCOPD group patients, respectively, a ≥ 4% decrease in SpO2 occurred within the first minute. We found that FEV1% correlated significantly with the ΔSpO2 (r = −0.398; p < 0.001), Tmin (r = −0.449; p < 0.001), and minimum SpO2 (r = 0.356; p < 0.005). Conclusions: In the sevCOPD group, in comparison with the modCOPD group, SpO2 was lower and the Tmin was greater, suggesting a worse prognosis in the former.