The vicious circle of dyspnoea–inactivity has been proposed, but never validated empirically, to explain the clinical course of chronic obstructive pulmonary disease (COPD). We aimed to develop and validate externally a comprehensive vicious circle model.We utilised two methods. 1) Identification and validation of all published vicious circle models by a systematic literature search and fitting structural equation models to longitudinal data from the Spanish PAC-COPD (Phenotype and Course of COPD) cohort (n=210, mean age 68 years, mean forced expiratory volume in 1 s (FEV₁) 54% predicted), testing both the hypothesised relationships between variables in the model (“paths”) and model fit. 2) Development of a new model and external validation using longitudinal data from the Swiss and Dutch ICE COLD ERIC (International Collaborative Effort on Chronic Obstructive Lung Disease: Exacerbation Risk Index Cohorts) cohort (n=226, mean age 66 years, mean FEV₁57% predicted).We identified nine vicious circle models for which structural equation models confirmed most hypothesised paths but showed inappropriate fit. In the new model, airflow limitation, hyperinflation, dyspnoea, physical activity, exercise capacity and COPD exacerbations remained related to other variables and model fit was appropriate. Fitting it to ICE COLD ERIC, all paths were replicated and model fit was appropriate.Previously published vicious circle models do not fully explain the vicious circle concept. We developed and externally validated a new comprehensive model that gives a more relevant role to exercise capacity and COPD exacerbations.