Background and objective Non-anaemic iron deficiency (NAID) might alter the oxygen pathway in health and disease. The current study aims at assessing the impact of NAID on aerobic capacity in patients with chronic obstructive pulmonary disease (COPD). Methods A prospective sample of 70 non-anaemic COPD patients candidate to participate in an 8-week pulmonary rehabilitation (PR) programme was studied. Incremental cycling exercise to peak oxygen uptake (V'O2peak) and constant work-rate exercise at 80% V'O2peak to exhaustion were assessed pre- and post-PR. Training-induced increase of endurance time (ET) ≥33%, which represented the minimal clinically important difference, classified patients as responders to exercise training. Results The prevalence of NAID was 48% (n = 34) showing no relationship with the Global Initiative for Chronic Obstructive Lung Disease stages (P = 0.209). Patients with NAID showed lower pre-training ET (P = 0.033) and V'O2peak (P = 0.007) than normal iron status (NIS) patients after adjustment for potential covariates. Significant training-induced physiological changes were seen in the NIS group (ΔV'O2peak 68(132) mL/min; P = 0.009), but not in the NAID group (ΔV'O2peak 26 (126) mL/min; P = 0.269). The NAID group showed lower percentage of responders to training (56%) than the NIS group (78%) (P = 0.041). Conclusions COPD patients with NAID showed lower pre-training aerobic capacity and reduced training-induced response than NIS patients after adjusting for potential confounding variables.