This study evaluated outcomes of self-directed exercise activity on cognitive functioning and psychological well-being among 28 adults with chronic obstructive pulmonary disease (COPD). Participants had completed an intensive 10-week program of exercise training and were given an exercise prescription to follow. One year later, participants completed comprehensive assessments of physical, cognitive, and psychological functioning. At follow-up, 39% (n=11) had continued with a regular program of moderate intensity exercise. Repeated measures analysis of variance indicated that exercise adherent participants maintained gains they had achieved in the initial exercise intervention, but nonexercise participants experienced declines in functional capacity, cognitive performance, and psychological well-being. Continued exercise among patients with COPD is associated with maintenance of physical, cognitive, and psychological functioning.