Objectives To compare changes in pulmonary rehabilitation (PR) dropout and outcomes between chronic obstructive pulmonary disease (COPD) patients with and without cognitive impairment. Design A cross-sectional observational study. Setting Patients with COPD were recruited from a PR centre in the Netherlands. Participants The study population consisted of 157 patients with clinically stable COPD who were referred for and completed PR. Measurements A comprehensive neuropsychological examination before start of PR was administered. Changes from baseline to PR completion in functional exercise capacity [6-minute walk test (6MWT)], disease-specific health status [COPD Assessment Test (CAT) and St George's Respiratory Questionnaire-COPD specific (SGRQ-C)], psychological well-being [Hospital Anxiety and Depression Scale (HADS)], COPD-related knowledge, and their need for information [Lung Information Needs Questionnaire (LINQ)] were compared between patients with and without cognitive impairment using independent samples t tests or Mann-Whitney U tests. Results Out of 157 patients with COPD [mean age 62.9 (9.4) years, forced expiratory volume in the first second 54.6% (22.9%) predicted], 24 patients (15.3%) did not complete PR. The dropout rate was worse in patients with cognitive impairment compared to those without cognitive impairment (23.3% and 10.3%, P = .03). Mean changes in PR outcomes after PR did not differ between completers with and without cognitive impairment. The proportion of patients with a clinically relevant improvement in 6MWT, CAT, SGRQ-C, HADS, and LINQ scores was comparable for patients with and without cognitive impairment. Conclusion PR is an effective treatment for patients with COPD and cognitive impairment. Yet patients with cognitive impairment are at increased risk for not completing the PR program.