People with chronic obstructive pulmonary disease (COPD) suffer from muscle dysfunction which seems to be partly caused by systemic inflammation. Muscle protein breakdown as well as synthesis might be affected by this systemic inflammation. Additionally, it seems to induce excessive oxidative stress and reduce the level of growth-stimulating factors. As exercise training can have an anti-inflammatory effect in healthy people, the main question in this review is whether exercise (training) can also induce such effects in patients with COPD. However, because of the known inflammatory response after an acute bout of exercise, some researchers are afraid that exercise might actually worsen the inflammation in COPD. Recent evidence suggests, however, that the response might actually be anti-inflammatory and thus beneficial. Unfortunately, the evidence about the response of the inflammatory cytokines tumor necrosis factor-α and interleukin-6 to exercise in patients with COPD is inconsistent, making it impossible to conclude whether a single exercise bout is harmful or beneficial in patients with COPD. Long-term exercise training in healthy people as well as in patients with chronic heart failure, another chronic inflammatory disease, seems to have beneficial effects on the inflammatory response. In patients with COPD, however, no training-induced changes in cytokine levels have been found and it must be concluded that physical exercise training does not seem to have an anti-inflammatory effect in COPD. On the other hand, it does not have a proinflammatory effect, and since patients with COPD benefit from exercise training with regard to other health parameters it is still recommended that they exercise regularly.