It is clear that being underweight is a poor prognostic sign in chronic obstructive pulmonary disease (COPD). It is also clear that undernutrition is at least in part associated with the severity of airflow obstruction. While both weight and body mass index are useful screening tools in the initial nutritional evaluation, fat-free mass (FFM) may be a better marker of undernutrition in patients with COPD. The causes of cachexia in patients with COPD are multifactorial and include decreased oral intake, the effect of increased work of breathing due to abnormal respiratory mechanics, and the effect of chronic systemic inflammation. Active nutritional supplementation in undernourished patients with COPD can lead to weight gain and improvements in respiratory muscle function and exercise performance. However, long-term effects of nutritional supplementation are not clear. In addition, the optimal type of nutritional supplementation needs to be explored further. The role of novel forms of treatment, such as androgens or appetite stimulants designed to increase FFM, also needs to be further studied. Thus, in the absence of definitive data, it cannot be said that long-term weight gain, either using enhanced caloric intake, with or without anabolic steroids or appetite stimulants, offers survival or other benefits to patients with COPD. However, there are indications from single-center trials that this is an avenue well worth exploring.