The aim of this study was to investigate the impact of a physical activity (PA)-focused behavioural intervention during and after pulmonary rehabilitation (PR) on PA levels (primary aim), health-related outcomes and self-efficacy (secondary aims) of patients with COPD. Thirty-two patients were randomly assigned to an experimental group (EG) or control group (CG). The EG received a PA-focused behavioural intervention during PR (3 months) and follow-up support (3 months). The CG received PR (3 months). Daily PA was collected: number of steps; time spent in moderate-to-vigorous PA (MVPA), total PA and sedentary activities (SA). Secondary outcomes comprised exercise capacity, muscle strength, health-related quality of life (HRQOL) and self-efficacy. Measures were collected at baseline, 3 and 6 months. Compared with the CG, the EG improved the number of steps ( p = 0.006) and time spent in MVPA ( p = 0.007), total PA ( p = 0.014) and SA ( p = 0.018) at 3 months. Differences were maintained after follow-up support (0.025 ≤ p ≤ 0.040), except for SA ( p = 0.781). Exercise capacity, muscle strength and HRQOL were increased at 3 and 6 months ( p ≤ 0.002) with no between-group differences (0.148 ≤ p ≤ 0.987). No changes were observed in self-efficacy ( p = 0.899). A PA-focused behavioural intervention during and after PR may improve patients’ PA levels. Further research is warranted to assess the sustainability of the findings.