Skeletal muscle dysfunction (SMD) is the most significant extrapulmonary complication and an independent prognostic indicator in patients with chronic obstructive pulmonary disease (COPD). Myokines, such as interleukin (IL)-6, IL-15, myostatin, irisin, and insulin-like growth factor (IGF)-1, play important roles in skeletal muscle mitochondrial function, protein synthesis and breakdown balance, and regeneration of skeletal muscles in COPD. As the main component of pulmonary rehabilitation, exercise can improve muscle strength, muscle endurance, and exercise capacity in patients with COPD, as well as improve the prognosis of SMD and COPD by regulating the expression levels of myokines. The mechanisms by which exercise regulates myokine levels are related to microRNAs. IGF-1 expression is upregulated by decreasing the expression of miR-1 or miR-29b. Myostatin downregulation and irisin upregulation are associated with increased miR-27a expression and decreased miR-696 expression, respectively. These findings suggest that myokines are potential targets for the prevention and treatment of SMD in COPD. A comprehensive analysis of the role and regulatory mechanisms of myokines can facilitate the development of new exercise-based therapeutic approaches for patients with COPD.