The objective of the study was to evaluate the effect of multidisciplinary pulmonary rehabilitation program on cognitive function in COPD patients, adjusting for potential confounders (gender, age, tobacco consumption, and educational level). In this prospective study, 34 COPD patients were submitted to neuropsychological testing before and after a 3-month pulmonary rehabilitation program. A control group with 18 healthy subjects of similar age, sex, and educational status was used to compare the cognitive function of COPD patients and healthy subjects at baseline. The association between the rehabilitation and change on th scores of cognitive variables, adjusted for each covariate, was estimated by means of linear random-intercept regression models. At baseline, the COPD patients had worse cognitive function with regard to verbal learning, memory, subjective organization, and verbal processing in comparison to the healthy volunteers. The improvement in cognitive performance by the COPD patients was evidenced even after adjusting for the sociodemographic factors that could potentially interfere on cognitive function. Male gender and age less than 65 years old were associated to higher scores in verbal learning and memory at baseline and after the rehabilitation program. The clinical approach to COPD-induced cognitive dysfunction should include participation in pulmonary rehabilitation programs. There were gender- and age-related differences in cognitive scores that persisted after rehabilitation.