Chronic obstructive pulmonary disease (COPD) is the most common chronic lung disease and is an important cause of morbidity worldwide. The aim of this study was to evaluate whether pulmonary rehabilitation (PR) improves the oxidant/antioxidant imbalance, exercise capacity and health-related quality of life (HRQL) in patients with different stages of COPD. Eighteen stable COPD patients participated in 8-week PR; the exercise intensity was set at 70% of the VO2 peak. Subjects were divided into 2 groups: moderate to severe (stages II/III: n = 12) and very severe COPD with FEV1 < 30% predicted (stage IV: n = 6). In patients at stages II/III, PR improved exercise capacity (6-minute walking test: 431.2 ± 26.6 vs. 489.1 ± 26.5 m, P < 0.01 and shuttle walking test: 329.2 ± 41.4 vs. 378.2 ± 41.5 m, P < 0.01) and HRQL, whereas no significant change was observed in erythrocyte lipid peroxidation and urinary 8-hydroxydeoxyguanosine, a marker for DNA damage. In contrast, PR for stage IV patients did not improve exercise capacity and HRQL, but significantly increased urinary 8-hydroxydeoxyguanosine (14.5 ± 1.7 vs. 24.3 ± 2.6 ng/mg Cr, P < 0.05). In both groups, erythrocyte antioxidants (superoxide dismutase, glutathione peroxidase, and catalase) did not change significantly after PR. Thus, urinary 8-hydroxydeoxyguanosine is a useful indicator for the PR-induced oxidative stress in COPD patients. In conclusion, appropriate exercise program in COPD patients can improve exercise capacity and HRQL without further increase of oxidative stress. However, PR for very severe COPD patients enhanced exercise-induced oxidative stress.