Breathlessness is the most common symptom limiting exercise in patients with chronic obstructive pulmonary disease (COPD). Exercise training can improve both exercise tolerance and health status in these patients, intensity being of key importance. Nevertheless, in these patients extreme breathlessness and/or peripheral muscle fatigue may prevent patients from higher levels of intensity. In this review article the literature concerning the different ways to optimise exercise tolerance in patients with COPD, with the objective of enhancing the tolerance to higher exercise training intensity, is summarised. Continuous positive airway pressure and different modalities of noninvasive positive pressure ventilation (NPPV) may reduce breathlessness and increase exercise tolerance in these patients. Respiratory muscle unloading and reduction in intrinsic positive end-expiratory pressure have been considered among mechanisms underlying these effects. Nevertheless, the role of NPPV in pulmonary rehabilitation, if any, is still controversial. The addition of nocturnal domiciliary NPPV during a daily exercise programme in patients with severe COPD resulted in an improvement in exercise tolerance and quality of life. In patients with severe COPD application of electrical stimulation combined with active limb mobilisation significantly improved muscle strength, and interval training has been shown capable of inducing physiological training effects. Oxygen supplementation in patients who do not desaturate during exercise seems to be the most promising treatment, since it allows for higher exercise intensities and, therefore, superior training efficacy. In conclusion, further studies are needed to define the appropriate patients in order to generalise such interventions. The modalities discussed should be used as adjuncts to a well designed comprehensive respiratory rehabilitation programme.