The effects of three versions of a dyspnea self-management program on depressed mood and the moderating effects of baseline depression risk on improvements in dyspnea severity, exercise performance, and physical and social functioning were examined over a 2-month period in 100 patients with moderate to severe chronic obstructive pulmonary disease (COPD). All three versions of the dyspnea self-management programs, which differed in the amount of supervised exercise (no sessions or four or 24 sessions), equally and significantly improved depressed mood. Subjects at high risk for depression at study entry who received 24 sessions had greater reduction in dyspnea than those who received four sessions or no sessions. Patients with COPD at high risk for depression are likely to achieve greater relief of dyspnea with self-management programs that include more intensive supervised exercise.