Weight loss is a frequent complication in patients with chronic obstructive pulmonary disease (COPD) and is a determining factor of functional capacity, health status, and mortality. Weight loss in COPD is a consequence of increased energy requirements unbalanced by dietary intake. Both metabolic and mechanical inefficiency contribute to the elevated energy expenditure during physical activity, while systemic inflammation is a determinant of hypermetabolism at rest. A disbalance between protein synthesis and protein breakdown may cause a disproportionate depletion of fat-free mass in some patients. Nutritional support is indicated for depleted patients with COPD because it provides not only supportive care, but direct intervention through improvement in respiratory and peripheral skeletal muscle function and in exercise performance. A combination of oral nutritional supplements and exercise or anabolic stimulus appears to be the best treatment approach to obtaining significant functional improvement. Patients responding to this treatment even demonstrated a decreased mortality. Poor response was related to the effects of systemic inflammation on dietary intake and catabolism. The effectiveness of anticatabolic modulation requires further investigation.