Aim Although the effects of pulmonary rehabilitation (PR) have been well defined for chronic obstructive pulmonary disease (COPD), it remains controversial whether PR improves physical activity (PA). The purpose of the present study was to identify factors associated with the effect of PR on PA. Methods This was a prospective study of 29 patients with COPD. They underwent pulmonary rehabilitation twice weekly for 12 weeks, and were assessed using the hospital anxiety and depression score, 6‐min walk distance (6MWD), and the St. George Respiratory Questionnaire (SGRQ) before and after they underwent PR. The PA of patients was measured by a three‐axis accelerometer. Physical activity level (PAL) was calculated by dividing each patient's total energy expenditure by basal metabolic rate. Correlations between changes in PAL after PR and 6MWD, St. George Respiratory Questionnaire, and hospital anxiety and depression score scores, and clinical parameters, including forced expiratory volume in 1 s were determined. Results 6MWD was significantly increased, but PAL was unchanged after PR. PAL was positively correlated with 6MWD, but not with percent predicted forced expiratory volume in 1 s nor St. George Respiratory Questionnaire scores before PR. The increase in PAL was negatively correlated with changes in hospital anxiety and depression score anxiety and depression scores, but was not correlated with the change in 6MWD. Conclusions A PR program for COPD patients improved results of the 6MWD, but not PAL. Increased PAL was associated with improvements in anxiety and depression, but not with increased exercise capacity. Treating the depression and anxiety of patients with COPD might not only reduce emotional distress, but also improve their PAL. Geriatr Gerontol Int 2017; 17: 17–23.