This study explored the impact of a self-management behaviour modification (SMBM) programme with/without bronchodilators and with/without exercise training (ExT) to improve daily physical activity on psychological and cognitive outcomes in COPD patients as a secondary analysis of the PHYSACTO trial.A 12-week, four-group, randomised, partially double-blind, placebo-controlled, parallel-group trial of SMBM in addition to tiotropium 5 µg, tiotropium/olodaterol 5/5 µg, tiotropium/olodaterol 5/5 µg plus ExT, or placebo was conducted in 304 patients. Outcomes included anxiety (Hospital Anxiety and Depression Scale (HADS)-A), depression (HADS-D and Patient-Health Questionnaire (PHQ)-9) and cognitive function (Montreal Cognitive Assessment (MoCA)).All outcomes showed statistically and clinically significant improvements after 12 weeks independent of treatment group. However, greater improvements in HADS-A and MoCA were seen in patients who exhibited greater increases in physical activity and exercise capacity, respectively, whereas greater improvements in HADS-D and PHQ-9 were seen in patients who exhibited increases in either physical activity or exercise capacity.The results indicate that SMBM with/without bronchodilators or ExT was associated with improved psychological and cognitive functioning. Anxiety reduced with increased physical activity, cognitive function improved with increased exercise capacity, and depression reduced with increases in either physical activity or exercise capacity. Interventions that increase daily physical activity or exercise capacity may improve psychological and cognitive outcomes in COPD.