The effects of intensive 3-week outpatient pulmonary rehabilitation (PR) on exercise capacity, dyspnea, and health-related quality of life (HRQL) were investigated in patients with COPD. Two hundred ten patients with COPD (mean FEV1 = 54%pred) underwent PR consisting of exercise training, patient and psychosocial education, breathing and relaxation therapy, nutrition counseling, and smoking cessation support. Before and after PR, exercise capacity was assessed with 6-min walking tests (6MWT) and constant cycle ergometer exercise (CEE). Dyspnea was measured after 6MWTs with a Borg scale and after PR with the Transition Dyspnoea Index (TDI). HRQL was examined with the Medical Outcomes Study Short Form 36 (SF-36). Results showed improvements in the 6MWT (+39 m, p < 0.001) and CEE (+241 W × min, p < 0.001) after PR, paralleled by decreased dyspnea during the 6MWT (-0.5, p < 0.001) and during activities (TDI score = 3.6). Increases in all SF-36 subscales reflected improved HRQL after PR (p < 0.001). No gender differences were found. Patients with milder versus more severe COPD improved similarly in most outcomes. Regression analyses revealed that TDI scores were the most important predictor of improvements in HRQL. The results suggest that intensive 3-week outpatient PR is associated with improvements in exercise capacity, dyspnea, and HRQL in male and female patients with COPD irrespective of COPD severity. Reduced dyspnea during activities contributed the most to improvements in HRQL.