Introduction The complexity of bio-signals, like R-R intervals, is considered a reflection of the organism’s capacity to adapt. However, this association still remains to be consolidated. We investigated whether the complexity of R-R intervals at rest and during perturbation [6-minute walking test (6MWT)], yielded information regarding adaptive capacities in Chronic Obstructive Pulmonary Disease (COPD) patients during pulmonary rehabilitation (PR). Methods In total, 23 COPD patients (64 ± 8 years, with forced expiratory volume in 1 s of 55 ± 19% predicted) were tested three times at the start (T1), middle (T2), and end (T3) of 4 weeks PR. Each time, R-R intervals were measured at rest and during 6MWT. The complexity of R-R intervals was assessed by evenly spaced Detrended Fluctuations Analysis and evaluated by the fractal exponent α and deviation from maximal complexity |1-α|. Results The 6MWT distance was significantly increased at T2 and T3 compared to T1. Neither α nor |1-α| at rest and during perturbation significantly changed throughout PR, nor were they consistently associated with 6MWT distances at each time. Throughout the PR program, complexity during the 6MWT was significantly lower compared to the rest. The level of α during 6MWT at T1 was positively correlated with the improvement of the 6MWT distance throughout the PR program. Discussion Reduced complexity in COPD patients during acute perturbation at the beginning of PR supports a decreased improvement of the 6MWT distance throughout PR. This result seems consistent with the notion that the complexity reflects the patients’ adaptive capacities and could therefore become a clinical indicator in an applied perspective.