Higher levels of exercise capacity and physical activity are desired outcomes in the comprehensive management of the COPD patient. In addition, improvements in exercise capacity and physical activity are instrumental to optimising other important therapeutic goals, such as improved health status, reduced healthcare utilisation and increased survival. Four general approaches towards increasing exercise capacity and physical activity in individuals with COPD will be discussed in this review: 1) pharmacological intervention, especially the administration of long-acting bronchodilators; 2) pulmonary rehabilitation, including exercise training and collaborative self-management; 3) behavioural interventions; and 4) web-based interventions. These are by no means the only approaches, nor are they mutually exclusive: indeed, combining them, as necessary, to meet the needs of the individual respiratory patient may promote optimal outcomes, although further research is necessary in this area.