Functional impairment caused by chronic obstructive pulmonary disease (COPD) impacts on activities of daily living and quality of life. Indeed, patients’ submaximal exercise capacity is of crucial importance. It was the aim of this study to investigate the effects of an exercise training intervention with and without supplemental oxygen on submaximal exercise performance. This is a secondary analysis of a randomized, controlled, double‐blind, crossover trial. 29 COPD patients (63.5 ± 5.9 years; FEV1 46.4 ± 8.6%) completed two consecutive 6‐week periods of high‐intensity interval cycling and strength training, which was performed three times/week with either supplemental oxygen or medical air (10 L/min). Submaximal exercise capacity as well as the cardiocirculatory, ventilatory, and metabolic response were evaluated at isotime (point of termination in the shortest cardiopulmonary exercise test), at physical work capacity at 110 bpm of heart rate (PWC 110), at the anaerobic threshold (AT), and at the lactate‐2 mmol/L threshold. After 12 weeks of exercise training, patients improved in exercise tolerance, shown by decreased cardiocirculatory (heart rate, blood pressure) and metabolic (respiratory exchange ratio, lactate) effort at isotime; ventilatory response was not affected. Submaximal exercise capacity was improved at PWC 110, AT and the lactate‐2 mmol/L threshold, respectively. Although supplemental oxygen seems to affect patients’ work rate at AT and the lactate‐2 mmol/L threshold, no other significant effects were found. The improved submaximal exercise capacity and tolerance might counteract patients’ functional impairment. Although cardiovascular and metabolic training adaptations were shown, ventilatory efficiency remained essentially unchanged. The impact of supplemental oxygen seems less important on submaximal training effects.