Pulmonary rehabilitation (PR) can improve aerobic exercise capacity, health-related quality of life and dyspnoea in patients with chronic obstructive pulmonary disease (COPD). Recent studies have suggested that exercise training may improve blood pressure and arterial stiffness, albeit in small highly selected cohorts. The aim of the study was to establish whether supervised outpatient or unsupervised home PR can reduce peripheral blood pressure. Resting blood pressure was measured in 418 patients with COPD before and after outpatient PR, supervised by a hospital-based team (HOSP). Seventy-four patients with COPD undergoing an unsupervised home-based programme acted as a comparator group (HOME). Despite significant improvements in mean (95% confidence interval) exercise capacity in the HOSP group (56 (50–60) m, p < 0.001) and HOME group (30 (17–42) m, p < 0.001) systolic blood pressure (SBP), diastolic blood pressure (DBP) and mean arterial blood pressure (MAP) did not change in either the HOSP (SBP: p = 0.47; DBP: p = 0.06; MAP: p = 0.38) or HOME group (SBP: p = 0.67; DBP: p = 0.38; MAP: p = 0.76). Planned subgroup analysis of HOSP patients with known hypertension and/or cardiovascular disease showed no impact of PR upon blood pressure. PR is unlikely to reduce blood pressure, and by implication, makes a mechanism of action in which arterial stiffness is reduced, less likely.