Chronic insomnia is reported by up to 50% of chronic obstructive pulmonary disease (COPD) patients. This may be attributable to several factors including nocturnal dyspnea, reduced physical activity, and less time outside. Pulmonary rehabilitation (PR) is recommended in COPD to improve both physical and psychological conditioning. The aim of this study was to assess the effect of PR on sleep efficiency (SE, measured by actigraphy) in COPD patients. COPD eligible for PR were prospectively included. Baseline and post PR (30 sessions) assessments included incremental and maximal exercise testing, 6-min walking distance test (6MWT), actigraphy, and questionnaires [Pittsburgh Sleep Quality Index (PSQI), Hospital Anxiety Depression scale, St George Respiratory, and modified Medical Research Council dyspnea scale]. Sixty-one patients were included, and 31 patients completed the study protocol (68% of males, age 63 ± 9 y, FEV1 44.2 ± 12.3%). After PR, SE remained unchanged, p = 0.07, as well as PSQI score (p = 0.22), despite improvements in exercise capacity (incremental exercise test, 6MWT) and dyspnea. However, SE improved significantly in the poor sleeper subgroup (SE < 85%, n = 24, p = 0.02), whereas the PSQI remained unchanged. The present study shows, in COPD patients included in a PR program, that improvement in exercise capacity was disappointingly not associated with a better SE assessed by actigraphy. Subjective sleep quality was also unchanged at the end of PR program. However, SE improved significantly in the poor sleeper subgroup (SE < 85%). Further studies are required to better characterize the origin of sleep disturbances in COPD and the potential benefit of some (non-)pharmacologic interventions.