Background/Objectives: COPD patients often complain of severe dyspnea when walking uphill, even up a mild incline. This study aimed to determine whether the dyspnea experienced during uphill walking is disproportionate to the increased mechanical work required to overcome gravity. Methods: Fourteen COPD patients (FEV₁ 49 ± 11% predicted) and nine healthy participants performed three symptom-limited exercise tests on a treadmill, each at a fixed grade: 1%, 2.5%, and 4% for COPD patients; and 1%, 3%, and 5% for healthy participants. Treadmill speed was increased stepwise (3 min/stage). Inspiratory capacity (IC) maneuvers were performed during the last minute of each stage. Borg dyspnea scores (0–10) at the different inclines were compared at a uniform level of oxygen uptake (iso-$\dot{\mathrm{V}}$O₂). Results: Borg dyspnea scores by COPD patients at the highest iso-$\dot{\mathrm{V}}$O₂ attained were significantly higher at 4% treadmill grade compared to 2.5% and compared to 1% grade (7 ± 2 vs. 5 ± 2 vs. 5 ± 2, respectively; p < 0.001 for 4% vs. 1% grade, p < 0.005 for 4% vs. 2.5%). Dynamic hyperinflation worsened with grade, as reflected by decrease in inspiratory reserve volume (IRV) at the highest common iso-$\dot{\mathrm{V}}$O₂ attained: 798 ± 336 mL at 1% grade vs. 698 ± 325 mL at 2.5% (p < 0.004) vs. 564 ± 350 mL at 4% (p < 0.002 for 4% vs. 1%; p < 0.004 for 4% vs. 2.5%). In contrast, healthy participants showed no significant grade-dependent differences in dyspnea or IRV at iso-$\dot{\mathrm{V}}$O₂. Conclusions: Walking uphill in itself increases breathlessness of COPD subjects at iso-$\dot{\mathrm{V}}$O₂, suggesting that the increased dyspnea cannot be explained simply by the increased work. This phenomenon may be related to dynamic hyperinflation, which is worse at steeper inclines.