Introduction: Although evidence suggests that physical exercise reduces systemic inflammation, at the plasma level, there are still contradictions in chronic obstructive pulmonary disease (COPD). In this sense, analysis of intracellular cytokines could clear off the effect of physical exercise on the inflammatory profile of these subjects. Aim: The aim was to evaluate the effect of physical training on cytokine expression in CD4+ T lymphocytes from subjects with COPD. Methods: This is a randomized controlled trial. Subjects with stable COPD were grouped into two groups, exercise and control. In total, 23 subjects with stable COPD were evaluated, of which 15 underwent aerobic strength training [physical exercise group (PEG)] and 8 underwent breathing exercises [respiratory physiotherapy group (RPG)]. Intracellular cytokines [interleukin (IL)-8, IL-13, IL-17, IL-6, IL-2, IL-10, and tumor necrosis factor alpha (TNF-α)] from CD4+ T lymphocytes were analyzed from peripheral blood through flow cytometry, before and after 8 weeks of intervention. Results: The PEG and RPG groups had a mean age of 68 ± 5.96 and 72.25 ± 6.86 years and predicted forced expiratory volume in the first second (FEV1) of 58.6 ± 15.99% and 39.75 ± 10.39%, respectively. It was possible to detect a significant reduction in IL-8 ( p = 0.0125) and an increase in IL-13 ( p = 0.0014) and an increase in TNF-α ( p < 0.001) in both groups. Conclusion: Eight weeks of physical training, both peripheral and respiratory, were able to reduce concentrations of IL-8 and to increase IL-13, and TNF-α in CD4+ T lymphocytes in subjects with stable COPD. The findings reinforce the benefits of interventions in subjects with COPD, revealing data not previously investigated.