Background: Various exercise training programs are used for patients with chronic obstructive pulmonary disease (COPD) of different severity. Objectives: To investigate the impact of individualized high-intensity training on exercise capacity with COPD. Methods: A total of 49 patients agreed to participate. Of these, 31 were assigned to the training group and 18 served as controls. The training group exercised twice a week for 90 min with consecutively increasing loads. At the time of enrollment (T0), as well as after 3 (T1) and 6 (T2) months, a 6-min walk test (6-MWT) was performed and data on health-related quality of life, femoral muscle thickness, and various serum markers were obtained. Results: The training group improved in their 6-MWT results (T0 = 407 ± 152 m vs. T1 = 459 ± 127 m, p = 0.002, vs. T2 = 483.2 ± 130.1 m, p = 0.004), in their cross-sectional area of the musculus rectus femoris (T0 = 6.2 ± 1.2 cm2 vs. T1 = 6.9 ± 1.2 cm2, p = 0.003, vs. 7.5 ± 1.6 cm2, p = 0.002), and in their St. George's Respiratory Questionnaire (SGRQ) score (T0 = 43.3 ± 18.0 vs. T1 = 36.0 ± 18.4, p = 0.001, vs. T2 = 34.7 ± 18. 0, p = 0.004). Serum levels of myostatin, irisin, resistin, and α-Klotho did not change significantly within the training period. Of note, the exercise group showed an inverse relationship between serum levels of resistin and those of α-Klotho after 6 months (r = -0.608, p = 0.021). Conclusions: COPD patients undergoing an individualized, structured, high-intensity training program improved their exercise capacity, gained muscle mass, and improved their quality of life.