Background: Vitamin D is suggested to play a role in airway and systemic inflammation in chronic obstructive pulmonary disease (COPD). Low serum 25-hydroxyvitamin D (25-OHD) levels have been suggested to be associated with lower lung function and poorer exercise capacity in COPD. Objectives: The main purpose of this study was to investigate the effects of vitamin D deficiency on the change in exercise capacity in male COPD patients. Methods: A total of 156 male subjects were selected from the Korean Obstructive Lung Disease cohort. Vitamin D deficiency was subdivided into three subgroups: mild, moderate, and severe deficiency groups. Rapid decline was defined as an annual rate of change in exercise capacity ≥17 m. Exercise capacity was assessed by 6-minute walk distance (6MWD). Results: Significant differences were observed in the serum levels of 25-OHD, the number of patients with vitamin D sufficiency, and moderate-to-severe deficiency between rapid decliners (n = 40) and non-rapid decliners (n = 116). No differences were found between the groups for age, smoking status, lung function, and 6MWD. Multivariate analysis showed that vitamin D deficiency was independently related to rapid decline in exercise capacity (p = 0.028). A statistically significant difference was observed among the subgroups of vitamin D deficiency in terms of the change in exercise capacity (p < 0.001). The annual decline in exercise capacity was prominent in the severe deficiency group (23.1 m/year). Conclusion: This study shows that vitamin D deficiency is associated with rapid decline in exercise capacity in male patients with COPD.