Chronic obstructive pulmonary disease (COPD) is a progressive respiratory disease with an increasing prevalence worldwide. Its potential consequences, including reduced function and reduced social participation, are likely to be associated with decreased health-related quality of life (HRQoL). However, illness perceptions and self-efficacy beliefs may also play a part in determining HRQoL in persons with COPD. The aim of this study was to explore the relationships between illness perceptions, self-efficacy, and HRQoL in a sample of persons with COPD in a longitudinal perspective. The context of the study was a patient education course from which the participants were recruited. Data concerning sociodemographic variables, social support, physical activity, illness perceptions, general self-efficacy, and HRQoL were collected before the course started and 1 year after completion. Linear regression was used in the analyses. The results showed that less consequences and less symptoms (identity) were associated with higher physical HRQoL (PCS) at baseline and at 1-year follow-up. Less emotional response was similarly associated with higher mental HRQoL (MCS) at both time points. Lower self-efficacy showed a borderline significant association with higher PCS at baseline, but was unrelated to MCS at both time points. Self-efficacy showed no influence on the associations between illness perceptions and HRQoL. In conclusion, the study showed that specific illness perceptions had a stable ability to predict HRQoL in persons with COPD, whereas self-efficacy did not. The associations between illness perceptions and HRQoL were not mediated by self-efficacy.