This study aimed to assess the time-course of changes in multidimensional fatigue and functional exercise capacity and their associations during an inpatient pulmonary rehabilitation (PR) program. Seventy COPD patients from three centres were enrolled for a four-week PR program and were evaluated before (T0) and at the end of each week (T1, T2, T3, and T4). Weekly change in multidimensional fatigue was assessed by the multidimensional inventory questionnaire (MFI-20) and functional exercise capacity by the 6-minute walking distance (6MWD). Reaction time (RT) and heart rate variability (HRV) were also assessed as complementary markers of fatigue. HRV did not change during the study (all p > 0.05). MFI-20 score and RT decreased during the first part of the program (p < 0.001) and levelled off at T2 (all p > 0.05 compared with each preceding time). While 6MWD improved by almost 70% during the first part of the PR, it continued to increase, albeit at a greatly reduced pace, between T2 and T4 (p < 0.05). In parallel, a negative association was found between MFI-20 score and 6MWD at each evaluation time (r ranged from 0.43 to 0.71), with a significantly stronger T3 correlation compared with the other time periods (all p < 0.05). The strengthening of the association between fatigue and functional exercise capacity at T3, which occurred concomitantly with the slowdown of functional exercise capacity improvement, is consistent with a role for fatigue in the limitation of performance changes during PR. The limitation of fatigue during PR is thus an interesting aspect to improve the magnitude of performance changes.