(1) Background: Most controlled trials of cognitive behavior therapy (CBT) in people living with chronic obstructive pulmonary disease (COPD) have targeted anxiety and depression. (2) Methods: This pragmatic randomized controlled trial explored whether a comprehensive pulmonary rehabilitation program (CPRP) with CBT for breathlessness or social group control (CPRP + SC) significantly improved health outcomes. (3) Results: People with moderate-to-severe COPD were block randomized (CPRP + CBT n = 52 or CPRP + SC n = 49). Primary outcomes (Hospital Anxiety and Depression scale (HADs), six-minute walk distance (6MWD)) and secondary outcomes (breathlessness, quality of life and habitual physical activity) were assessed before and 1, 6 and 12 months post intervention. Between-group differences were calculated with mixed models for each time point to baseline (intention to treat (ITT)). Participants (n = 101, mean ± SD age 70 ± 8.5 years, 54 (53%) males, FEV1% pred 47.7 ± 16.3) were similar between groups. Post intervention, primary outcomes did not differ significantly between groups at 1 (6MWD mean difference −7.5 [95% CI −34.3 to 19.4], HADs-A −0.3 [−1.4 to 0.9], HADs-D 0.2 [−0.8 to 1.3]), 6 (6MWD −11.5 [−38.1 to 15.1], HADs-A 1.1 [0.0 to 2.2], HADs-D 0.2 [−0.9 to 1.3]), or 12 months (6MWD −3.8 [−27.2 to 19.6], HADS-A −0.4 [−1.5 to 0.6], HADs-D −0.7 [−1.7 to 0.4]). (4) Conclusions: In this cohort, combining CBT with a CPRP did not provide additional health benefits beyond those achieved by a standard CPRP.