Significant positive effects, particularly on psychological state in patients who completed the follow-up pulmonary rehabilitation programs, are indicated by a large number of studies. Yet, a remarkable proportion of selected patients drop out from these programs. In this study, we investigated existing differences on psychological variables among COPD patients who complete and those who drop out from pulmonary rehabilitation programs. The study included 144 patients, 43 (29.9%) of whom did not complete the program. SCL-90 was used for the assessment of psychological symptoms. On the SCL-90-R scale 55.6% of patients had abnormal findings. Patients who discontinued the program had higher rates of depression and somatization compared to those who completed it. Regarding the psychopathology scales of SCL-90R, we found that patients who discontinued the program showed higher levels of psychopathology on the scales of somatization, depression, paranoid ideation, and psychotism compared to those who completed the program. The final regression model showed that patients with low educational status and psychotism were more likely to leave the program. In conclusion, psychopathology contributes to patients dropping out from a COPD rehabilitation program; thus, psychological assessment prior to inclusion in rehabilitation programs may reduce dropouts.