The aim of this study was to examine the effect of high intensity physical group training in water and on land for patients with COPD with regard to physical capacity and health related quality of life (HRQoL). A controlled, semi-randomised study was conducted where 30 patients were randomised to training either in water or on land. Thirteen patients constituted a control group. Forty-three outpatients, with moderate to severe COPD (27w/16m), from two local hospitals in northern Sweden, were included in the study. High intensity physical group training in water (water group) or on land (land group) was performed for 12 weeks, three times per week, 45min per session. The control group received no intervention. Pre- and post-intervention, all patients performed incremental and endurance shuttle walking tests (ISWT and ESWT), cycle ergometer tests and responded questionnaires about HRQoL (St. Georges Respiratory Questionnaire—SGRQ and SF-36). The patients trained with a mean heart rate of 80–90% of peak heart rate. Both training groups increased the distance walked, i.e. land group in ISWT (25m) and water group in ESWT (179m). The water group increased the distance in ESWT significantly more that both the land and the control groups. Both training groups increased the time cycled (40–85s) and work load (10–20W) in the cycle ergometer test. The control group deteriorated in HRQoL according to total score in SGRQ while the training groups remained constant. The water group improved their activity score in SGRQ and their physical health score in SF-36 and those improvements were significant as compared to the land and the control groups. In conclusion, high intensity physical group training in water is of benefit for patients with COPD. It was in some areas found to be even more effective regarding improvements in physical capacity and experienced physical health compared to the same kind of training on land.