Body mass index (BMI) is an important prognostic measure in chronic obstructive pulmonary disease (COPD). However, its effects on pulmonary rehabilitation (PR) are unknown. This study aimed to evaluate the effectiveness of a walking-based PR programme across the BMI range and the impact of BMI on exercise performance and health status. A total of 601 patients with COPD completed a PR programme. The effects of BMI on exercise capacity (incremental and endurance shuttle walk tests (ISWT and ESWT)) and health status (chronic respiratory questionnaire (CRQ)) before and after PR were evaluated. 16% of patients were underweight, with 53% overweight or obese. At baseline, the obese had worse ISWT (−54 m ± 14 m; p = 0.001) despite a higher predicted forced expiratory volume in 1 s (7.4m ± 1.6%; p < 0.001). Patients in all BMI categories made clinically important improvements in ISWT distance: BMI <21, 62 m; 21–25, 59 m; 25–30, 59 m; >30, 65 m ( p = < 0.001). All four domains of the CRQ increased above the level of clinical significance for all BMI categories (all p < 0.001). The majority of patients with COPD were overweight associated with a lower walking capacity. A walking-based PR programme was comparably effective across the BMI spectrum. Patients with COPD should be referred for standard PR, independent of BMI.