Breathlessness is the most common symptom that limits exercise in patients with chronic obstructive pulmonary disease and who may receive benefit from exercise training programmes. Exercise intensity may influence the physiological benefits of the programme. Although the exact underlying physiopathological mechanism is still unclear, there is laboratory evidence that continuous positive airway pressure and other modalities of mechanical ventilation (delivered either by mouthpiece or facial or nasal masks) may reduce breathlessness and increase exercise tolerance in these patients, in order to allow them to reach a higher exercise intensity. Respiratory muscle unloading and a reduction in intrinsic positive end-expiratory pressure have been considered among the potential mechanisms underlying these effects. The role of mechanical ventilation in pulmonary rehabilitation programmes, if any, is still to be defined.