Background/Objectives: This study aimed to evaluate the impact of exercise on aerobic capacity in individuals with chronic obstructive pulmonary disease (COPD), and to explore potential exercise-related characteristics associated with greater improvements in aerobic capacity. Methods: Randomized controlled trials (RCTs) were systematically retrieved from Web of Science, Embase, Scopus, PubMed, and Cochrane Library, covering all records up to 13 May 2025. Studies were included if they were RCTs involving COPD patients and reported aerobic capacity outcomes. Methodological quality was evaluated using the Cochrane Risk of Bias tool, and effect sizes were synthesized using weighted mean differences (WMD) with 95% confidence intervals (CIs). Results: Thirty-seven studies were included, involving 1124 participants in exercise groups and 1089 in control groups. Exercise significantly improved aerobic capacity (WMD, 49.82; 95% CI: 38.54 to 61.10; p < 0.00001). Subgroup analyses revealed that certain exercise characteristics, including mixed exercise (WMD, 53.70; 95% CI: 41.58 to 65.83; p < 0.00001), sessions ≥ 60 min (WMD, 51.15; 95% CI: 37.53 to 64.76; p < 0.00001), ≤3 times weekly (WMD, 62.09; 95% CI: 47.49 to 76.68; p < 0.00001), total weekly volume ≤ 180 min (WMD, 59.08; 95% CI: 41.52 to 76.64; p < 0.00001), and supervised training (WMD, 56.25; 95% CI: 36.64 to 75.86; p < 0.00001), may be associated with larger improvements in aerobic capacity. Conclusions: Exercise is effective in improving aerobic capacity in COPD patients. Observed differences across exercise characteristics should be considered as exploratory and hypothesis-generating rather than definitive evidence of optimal exercise prescription. Future research should focus on investigating the long-term effects of exercise training on clinical outcomes (e.g., hospital readmissions, mortality) and exploring the efficacy of technology-assisted remote exercise programs to improve access to pulmonary rehabilitation services.