We determined the effect of different exercise training modalities in patients with chronic obstructive pulmonary disease, including strength training (n = 17), endurance training (n = 16), and combined strength and endurance (n = 14) (half of the endurance and half of the strengthening exercises). Data were compared at baseline, the end of the 12-week exercise-training program, and 12 weeks later. Improvement in the walking distance was only significant in the strength group. Increases in submaximal exercise capacity for the endurance group were significantly higher than those observed in the strength group but were of similar magnitude than those in the combined training modality, which in turn were significantly higher than for the strength group. Increases in the strength of the muscle groups measured in five weight lifting exercises were significantly higher in the strength group than in the endurance group but were of similar magnitude than in the combined training group, which again showed significantly higher increases than subjects in the endurance group. Any training modality showed significant improvements of the breathlessness score and the dyspnea dimension of the chronic respiratory questionnaire. In conclusion, the combination of strength and endurance training seems an adequate training strategy for chronic obstructive pulmonary disease patients.