Background: the effect of pulmonary rehabilitation (PR) services, beyond research contexts, on patients with lung diseases other than COPD requires further study. Objectives: to (i) assess the impact of a publicly funded PR on patients’ exercise capacity, self-efficacy, and health-related quality of life (HRQoL), and (ii) explore whether the effects vary across lung diseases. Methods: this retrospective pre–post study analyzed data from the Winnipeg Regional Health Authority PR program between 2016 and 2019. Results: 682 patients completed the full PR program. Pooled analyses found significant improvements in the patients’ exercise capacity (six-minute walk test (6MWT) (13.6%), fatigue (10.3%), and dyspnea (6.4%)), Self-Efficacy for Managing Chronic Disease 6-Item Scale (SEMCD6) (11.6%), and HRQoL (Clinical COPD Questionnaire (CCQ) (18.5%) and St George’s Respiratory Questionnaire (SGRQ) (10.9%)). The analyses conducted on sub-groups of patients with chronic obstructive pulmonary disease (COPD), asthma, bronchiectasis, interstitial lung diseases (ILDs), other restrictive lung diseases (e.g., obesity, pleural effusion, etc.), lung cancer, and pulmonary hypertension (PH) indicated that, except for patients with PH, all the patients improved in the 6MWT. Fatigue decreased in patients with COPD, ILDs, and other restrictive lung diseases. Dyspnea decreased in patients with COPD, asthma, and lung cancer. SEMCD6 scores increased in COPD, ILDs and PH patients. CCQ scores decreased in all lung diseases, except lung cancer and PH. SGRQ scores only decreased in patients with COPD. Conclusion: PR services had a significant impact on patients with different lung diseases. Therefore, publicly funded PR should be available as a critical component in the management of patients with these diseases.