Cognitive impairment is highly prevalent in chronic obstructive pulmonary disease (COPD) complicated by chronic hypoxemia, but the effect of cognitive training in patients with COPD has not been studied. The aim of the present study was to verify whether cognitive training can preserve cognitive abilities of patients with hypoxemic COPD. Our series consisted of 105 COPD patients with at rest (n = 36) or effort (n = 69) hypoxemia and free from concurrent dementing diseases. Neuropsychologic assessment included a screening test, the Mini Mental State Examination (MMSE), and a standardized confirmatory battery of neuropsychological tests, the Mental Deterioration Battery (MDB). After baseline assessment, patients were randomized to receive standardized multidimensional care (standardization of pharmacological therapy, health education, selection of inhalers according to patient's ability, respiratory rehabilitation, nutritional counseling, oxygen therapy, and control visits) with (n = 53) or without (n = 52) cognitive training aimed at stimulating attention, learning, and logical-deductive thinking. Cognitive performance was reassessed after 1.5, 4, and 6 months. The analysis of variance for repeated measures (ANOVA) having the group membership (study vs. control) as grouping factor was used to assess changes in cognitive performance. Both intervention and control groups showed no significant changes in cognitive performance except for a trend toward improvement in verbal fluency and verbal memory, but cognitive intervention had no significant effect. In conclusion, cognitive training seems ineffective in COPD. However, a multidimensional standardized therapeutic approach, as it was indistinctly provided to all patients, could help to slow or prevent cognitive decline.