The study aimed to compare the responsiveness of three instruments to assess self-reported changes in functional status after exercise training in patients with COPD: Pulmonary Functional Status and Dyspnea Questionnaire -modified version (PFSDQ-M), London Chest Activity of Daily Living (LCADL) and Medical Research Council scale (MRC). Twenty-two patients (11 female, 66[62-71] years, FEV1 42[33-61]%predicted) participated in a 3-month high-intensity exercise program. The three instruments were applied pre- and post-program, as well as assessment of lung function, muscle strength, exercise capacity (6-minute walking test, 6MWT) and quality of life (St. George's Respiratory Questionnaire, SGRQ). SGRQ, 6MWT and quadriceps femoris, biceps and triceps brachialis strength improved significantly after the program (p < 0.05 for all). Training also yielded significant improvement in the LCADL total score and self-care, domestic and leisure domains and in the PFSDQ-M 'change in activities' domain, with no improvement in the MRC (p = 0.11). Calculation of effects sizes also indicated higher responsiveness in the LCADL than the other instruments. There were no significant correlations between changes in the three instruments and changes in lung function, SGRQ or 6MWT. In conclusion, PFSDQ-M's 'change in activity' domain and specially the LCADL (to a higher extent) showed responsiveness to detect changes in functional status after three months of high-intensity exercise training in patients with COPD, whereas the MRC scale did not. In this population, the improvement in functional status was not related with improvement in exercise capacity, lung function or quality of life.