We consider the infinite one-sided sequence generated by the period-doubling substitution σ(a, b) = (ab, aa), denoted by D. Since D is uniformly recurrent, each factor ω appears infinite many times in the sequence, which is arranged as ω p (p ≥ 1). Let r p (ω) be the p-th return word over ω. The main result is: for each factor ω, the sequence {r p (ω)} p≥1 is Θ 1 or Θ 2 , which are substitutive sequences and determined completely in this paper.