Previous systematic reviews have confirmed the benefits of both exercise training and psychological interventions in people with chronic obstructive pulmonary disease (COPD). The objective of this systematic review was to examine the effect of interventions which combine exercise training and psychological interventions for a range of health outcomes in people with COPD. Database searches identified randomized controlled trials of people with COPD participating in interventions that combined exercise training with a psychological strategy compared with control (usual care, waiting list) or active comparators (education, exercise, psychological interventions alone). Health outcomes included dyspnoea, anxiety, depression, quality of life or functional exercise capacity. Standardized mean differences (SMD) were calculated for each intervention arm/control comparison. Across the 12 included studies (738 participants), compared with control conditions, SMD consistently favoured interventions which included both exercise + psychological components (SMD range dyspnoea −1.63 to −0.25; anxiety −0.50 to −0.20; depression −0.46 to −0.18; quality of life 0.09 to 1.16; functional exercise capacity 0.22 to 1.23). When compared with active comparators, SMD consistently favoured interventions that included exercise training + psychological component for dyspnoea (SMD range −0.35 to −0.97), anxiety (SMD range −0.13 to −1.00) and exercise capacity (SMD range 0.64 to 0.71) but were inconsistent for depression (−0.11 to 1.27) and quality of life (0.02 to −2.00). The magnitude of effect for most interventions was greater than the minimum required for clinical significance (i.e. > 0.32) in behavioural medicine. While interventions, outcomes and effect sizes differed substantially between studies, combining exercise training with a psychological intervention may provide a means of optimizing rehabilitation in people with COPD.