The intent of the study described in this article was to determine (a) if patients with chronic obstructive pulmonary disease (COPD) who regularly participate in less vigorous exercise programs, such as the program of systematic movement sponsored by the American Lung Association, differ from those who do not participate; and (b) whether these differences, if they exist, persist over time. Two convenience samples of COPD patients—those who practice systematic movement by participating in a pulmonary exercise program (PEP) and those who do not—were obtained through the American Lung Association of Maryland. Demographic information and health history were obtained from the participants and their physicians. They all completed the vertical visual analogue dyspnea scale (VADS) and the Beck Depression Inventory (BDI) on two occasions 8 weeks apart and described the strategies they used in dealing with their illness. Differences were found between the groups on the BDI and VADS at both measurement times. Those who participated in the program had lower depression (5.9 versus 17.75) and lower dyspnea (58.9 versus 78.8). These findings persisted 8 weeks later, with exercisers having depression levels of 5.5 versus 19 for the nonexercisers and dyspnea levels of 55.2 versus 79.4 for the nonexercisers. Exercisers used fewer emotion‐focused coping strategies than nonexercisers. These findings have implications for the rehabilitation of COPD pat