The first objective of the study was to evaluate a 4-week inpatient pulmonary rehabilitation program on exercise capacity, health-related quality of life (HRQL) and psychological distress in patients with COPD. The second objective was to investigate the influence of gender, age, disease severity, co-morbidity, anxiety and depression on improved HRQL after rehabilitation. The study comprised 136 consecutive patients from baseline to follow-up with mild-to-severe COPD. Exercise capacity was measured by the 6-min walking distance test, disease severity by spirometric tests, HRQL by The St. George's Respiratory Questionnaire and psychological distress by the The Hospital Anxiety and Depression Scale. Variables on socio-demography and co-morbidity were self-reported. Exercise capacity was improved from baseline to follow-up with a score difference of +44 metres (p = 000). Except for the activity score, HRQL was significantly improved: a change of -3.5 for the symptom score (p = 014), -3.1 for the total score (p = 003) and a clinical significant change of - 4.0 for the impact score (p = 002). The anxiety score did not change significantly after rehabilitation (-0.1, p = 545), though there was a significant reduction of the depression score (-0.8, p = 002) and a 10.4% reduction in the prevalence of possible depression cases (p = 017). Patients with forced expiratory volume in 1 second ≥50% predicted were 4.2 times more likely to achieve a clinical significant improved HRQL after rehabilitation than patients with forced expiratory volume in 1 second <50% predicted (95% confidence interval [CI] 1.7-10.3, p = 002). A 4-week inpatient rehabilitation program improves HRQL and exercise capacity and reduces depression in COPD patients. Patients with mild or moderate disease are more likely to achieve an improved HRQL after rehabilitation than patients with severe or very severe disease.