Chronic obstructive pulmonary disease (COPD) reduces patients' exercise capacities and their abilities to perform daily physical activities, thereby increasing morbidity and mortality rates. The cycle of dyspnea, deconditioning, and declining physical activity not only accelerates the progression of COPD but also increases the risk for developing or aggravating metabolic and cardiovascular diseases. Cardiovascular and metabolic comorbidities also limit physical function, and their disabling effects in combination with COPD may be greater than the effects of each disease alone. The impact of COPD and its treatment on the ability to exercise, and the degree of physical activity in daily life, can be measured by field-based tests (eg, the 6-minute walk test or incremental and endurance shuttle-walk test), laboratory-based tests (eg, incremental or constant work-rate treadmill and cycle-ergometer tests), and physical activity assessments (eg, questionnaires and accelerometers). Walking tests increase oxygen consumption and desaturation in patients with COPD more than cycling tests with similar work-rate profiles and may more closely resemble patients' normal activities. Despite the questionable relevance of exercise testing to patients' daily functionality, exercise parameters remain important predictors of survival in patients with COPD. Treatment of COPD (pharmacotherapy, pulmonary rehabilitation, or both) can increase exercise capacity and physical activity in daily life, which potentially slows the decline of lung function, reduces the frequencies of exacerbations and hospitalizations, decreases mortality, slows the progression of comorbidities, improves health-related quality of life, and increases the activity reserve for routine function. This article examines the interactions of reduced physical activity and decreased exercise capacity with the progression of COPD, comorbidities, and mortality. The article also describes the available exercise tests for patients with COPD and reviews the evidence indicating that treating COPD improves exercise capacity. Notably, it appears that even mild COPD reduces exercise capacity and daily physical activity, indicating the need for early intervention.