Exercise intolerance is a key element in the pathophysiology and course of Chronic Obstructive Pulmonary Disease (COPD). As such, evaluating exercise tolerance has become an important part of the management of COPD. A wide variety of exercise-testing protocols is currently available, each protocol having its own strengths and weaknesses relative to their discriminative, methodological, and evaluative characteristics. This paper aims to review the responsiveness of several exercise-testing protocols used to evaluate the efficacy of pharmacological and nonpharmacological interventions to improve exercise tolerance in COPD. This will be done taking into account the minimally important difference, an important concept in the interpretation of the findings about responsiveness of exercise testing protocols. Among the currently available exercise-testing protocols (incremental, constant work rate, or self-paced), constant work rate exercise tests (cycle endurance test and endurance shuttle walking test) emerge as the most responsive ones for detecting and quantifying changes in exercise capacity after an intervention in COPD.