Objective: To determine the effects of a pulmonary rehabilitation program in patients with COPD who use and do not use supplemental oxygen during exercise. Materials and Methods: Prospective longitudinal descriptive study on 59 patients with COPD who were part of a pulmonary rehabilitation program and who were classified into two groups: a group that required supplemental oxygen during rehabilitation and another that did not. Results: 31 patients were linked to the group that used oxygen during rehabilitation and 28 patients who did not use it. The average age was 69.1 ± 10.6 years old. The mMRC dyspnea decreased 0.7 ± 0.2 (p = 0.000) in the group that used oxygen and 0.8 ± 0.1 (p = 0.000) in the group that did not use it. The distance increased 45.9 meters ± 7.2 (p = 0.000) in the group that used oxygen and 65.2 meters ± 16.3 (p = 0.001) in the group that did not use it. Conclusion: Both groups showed significant improvements in dyspnea and aerobic capacity, however, there was a greater increase in the group that did not use oxygen.