Aim The study was conducted to examine the relation between self‐efficacy in patients with chronic obstructive pulmonary disease (COPD) and caregiver burden. Material and methods This descriptive, cross‐sectional study included 200 patients with stage II and III COPD presenting to hospital between June and November in 2017 and their caregivers. Data were gathered with a questionnaire, COPD Assessment Test and COPD Self‐Efficacy Scale from the patients. A questionnaire and Caregiver Burden Scale was used to collect data from the caregivers. Obtained data were analysed with the descriptive statistics numbers, percentages, mean, median and standard deviation. Spearman’s correlation analysis was utilised to examine the relation between paired groups. Results The mean age of the patients with COPD was 63.53 years and 51.1% of the patients were female. The mean age of the caregivers was 48.88 ± 14.09 years. 54.4% of the caregivers were aged 40–60 years, and 59.9% of the caregivers were female. The mean score was 26.97 ± 5.25 for COPD Assessment Test and 2.32 ± 0.43 for COPD Self‐Efficacy Scale. Of all the caregivers, 64.8% had mild caregiving burden and 18.1% had moderate caregiving burden. The mean score for Caregiver Burden Scale had a significant, moderate relation with the mean score for the subscale physical effort in COPD Self‐Efficacy Scale (r = −0.42; p < 0.01) and had a significant, weak, negative relation with the mean total score for COPD Self‐Efficacy Scale and the mean scores for its subscales. There was a significant, moderate, positive relation between the mean scores for Caregiver Burden and COPD Assessment Test (r = 0.51; p < 0.001) and a significant, negative relation between the scores for COPD Self‐Efficacy Scale and its subscales and the scores for CAT (r = −0.26 ‐ r = −0.52; p < 0.05). Conclusion As self‐efficacy in COPD patients increases, their health and daily lives are affected less by COPD and caregiver burden decreases.