Background and PurposePhysical activity is an effective therapeutic protocol for treating chronic obstructive pulmonary disease (COPD). However, the mechanisms underlying the benefits of physical activity in COPD are not fully elucidated.Experimental ApproachIn a mouse model of COPD, analysis of biological markers and lung proteomics identified the molecular pathways through which exercise ameliorates COPD.Key ResultsExercise improved pulmonary function, emphysema, small airway disease, pulmonary inflammation, glucose metabolic dysregulation, and insulin resistance in COPD mice. Proteomic analysis revealed 430 differentially expressed proteins (DEPs) between the COPD and COPD + Exercise (COPD + Ex) groups. GO analysis indicated that the enriched pathways were predominantly related to the immune response, inflammatory processes, insulin secretion, and glucose metabolic processes. GO analysis revealed IL‐33 as a crucial target for the exercise‐related amelioration of COPD. KEGG analysis showed that DEPs were significantly enriched in primary immunodeficiency, the intestinal immune network for IgA production, and the NF‐κB signalling pathway. Exercise inhibited NF‐κB activation by suppressing the CD14/TLR4/MyD88 and TNF‐α/TNF‐R1/TRAF2/5 pathways in COPD mice. Exercise inhibited expression of BCR, IgM, IgD, IgG, IgE, and IgA by suppressing B‐cell receptor signalling. Exercise attenuated glucose metabolic dysregulation and insulin resistance through the suppression of proinflammatory mediators, including MHC I, MHC II, TNF‐α, IFN‐γ, and IL‐1β, while concurrently increasing insulin expression. The qRT‐PCR results were consistent with the proteomic results.Conclusion and ImplicationsIn a mouse model, exercise improved COPD and its metabolic comorbidities through immune system regulation and inflammation suppression, offering insights into potential therapeutic targets.