Chronic obstructive pulmonary disease (COPD) patients are characterised for presenting dyspnea, which reduces their physical capacity and tolerance to physical exercise. The aim of this study was to analyse the effects of adding a Feel-Breathe (FB) device for inspiratory muscle training (IMT) to an 8-week pulmonary rehabilitation programme. Twenty patients were randomised into three groups: breathing with FB (FBG), oronasal breathing without FB (ONBG) and control group (CG). FBG and ONBG carried out the same training programme with resistance, strength and respiratory exercises for 8 weeks. CG did not perform any pulmonary rehabilitation programme. Regarding intra group differences in the value obtained in the post-training test at the time when the maximum value in the pre-training test was obtained (PostPRE), FBG obtained lower values in oxygen consumption (VO2, mean = −435.6 mL/min, Bayes Factor (BF10) > 100), minute ventilation (VE, −8.5 L/min, BF10 = 25), respiratory rate (RR, −3.3 breaths/min, BF10 = 2), heart rate (HR, −13.7 beats/min, BF10 > 100) and carbon dioxide production (VCO2, −183.0 L/min, BF10 = 50), and a greater value in expiratory time (Tex, 0.22 s, BF10 = 12.5). At the maximum value recorded in the post-training test (PostFINAL), FBG showed higher values in the total time of the test (Tt, 4.3 min, BF10 = 50) and respiratory exchange rate (RER, 0.05, BF10 = 1.3). Regarding inter group differences at PrePOST, FBG obtained a greater negative increment than ONBG in the ventilatory equivalent of CO2 (EqCO2, −3.8 L/min, BF10 = 1.1) and compared to CG in VE (−8.3 L/min, BF10 = 3.6), VCO2 (−215.9 L/min, BF10 = 3.0), EqCO2 (−3.7 L/min, BF10 = 1.1) and HR (−12.9 beats/min, BF10 = 3.4). FBG also showed a greater PrePOST positive increment in Tex (0.21 s, BF10 = 1.4) with respect to CG. At PreFINAL, FBG presented a greater positive increment compared to CG in Tt (4.4 min, BF10 = 3.2) and negative in VE/VCO2 intercept (−4.7, BF10 = 1.1). The use of FB added to a pulmonary rehabilitation programme in COPD patients could improve tolerance in the incremental exercise test and energy efficiency. However, there is only a statically significant difference between FBG and ONBG in EqCO2. Therefore, more studies are necessary to reach a definitive conclusion about including FB in a pulmonary rehabilitation programme.