This study compared the effects on self-efficacy of participation by patients with chronic obstructive pulmonary disease (COPD) in a pulmonary rehabilitation program that combined education and supervised exercise training with the results demonstrated by participation in a program that provided education alone. Thirty-seven patients participated in the pulmonary rehabilitation program, and 22 patients participated in the education-only program. Self-efficacy, as it effects managing or avoiding breathing difficulty, was measured before and after the programs. Patients' self-efficacy scores significantly improved after the pulmonary rehabilitation program and remained significantly improved 6 months later. Education alone was also effective in significantly improving self-efficacy scores, but patients' scores 6 months later were not significantly better than preprogram scores. This study indicates that a rehabilitation program that combines education and exercise training is more effective in improving long-term self-efficacy in patients with COPD.