Patients with chronic obstructive pulmonary disease (COPD) have lower activity levels than healthy controls. Loss of skeletal muscle affects COPD negatively, and strengthening of the musculature is probably part of the explanation for the positive effects of physical activity. This review describes the recent literature on restoring and maintaining physical activity in COPD and the importance of maintaining high physical activity levels. Furthermore, the future perspectives for research in COPD, physical activity, and the possible mechanisms for the beneficial effects are discussed.