The major limitation to exercise performance in patients with chronic lung diseases is an issue of great importance since identifying the factors that prevent these patients from carrying out activities of daily living provides an important perspective for the choice of the appropriate therapeutic strategy. The factors that limit exercise capacity may be different in patients with different disease entities (i.e., chronic obstructive, restrictive or pulmonary vascular lung disease) or disease severity and ultimately depend on the degree of malfunction or miss coordination between the different physiological systems (i.e., respiratory, cardiovascular and peripheral muscles). This review focuses on patients with chronic obstructive pulmonary disease (COPD), interstitial lung disease (ILD) and pulmonary vascular disease (PVD). ILD and PVD are included because there is sufficient experimental evidence for the factors that limit exercise capacity and because these disorders are representative of restrictive and pulmonary vascular disorders, respectively. A great deal of emphasis is given, however, to causes of exercise intolerance in COPD mainly because of the plethora of research findings that have been published in this area and also because exercise intolerance in COPD has been used as a model for understanding the interactions of different pathophysiologic mechanisms in exercise limitation. As exercise intolerance in COPD is recognized as being multifactorial, the impacts of the following factors on patients' exercise capacity are explored from an integrative physiological perspective: (i) imbalance between the ventilatory capacity and requirement; (ii) imbalance between energy demands and supplies to working respiratory and peripheral muscles; and (iii) peripheral muscle intrinsic dysfunction/weakness.