The aim of this review was to identify the effectiveness of therapies added on to conventional exercise training to maximise exercise capacity in patients with chronic obstructive pulmonary disease (COPD). Electronic databases were searched, identifying trials comparing exercise training with exercise training plus “add-on” therapy. Outcomes included peak oxygen uptake (V’O2peak), work rate and incremental/ endurance cycle and field walking tests. Individual trial effects on exercise capacity were extracted and collated into eight subgroups and pooled for meta-analysis. Sensitivity analyses were conducted to explore the stability of effect estimates across studies employing patient-centred designs and those deemed to be of “high” quality (PEDro score >5 out of 10). 74 studies (2506 subjects) met review inclusion criteria. Interventions spanned a broad scope of clinical practice and were most commonly evaluated via the 6-min walking distance and V’O2peak. Meta-analysis revealed few clinically relevant and statistically significant benefits of “add-on” therapies on exercise performance compared with exercise training. Benefits favouring “add-on” therapies were observed across six different interventions (additional exercise training, noninvasive ventilation, bronchodilator therapy, growth hormone, vitamin D and nutritional supplementation). The sensitivity analyses included considerably fewer studies, but revealed minimal differences to the primary analysis. The lack of systematic benefits of “add-on” interventions is a probable reflection of methodological limitations, such as “one size fits all” eligibility criteria, that are inherent in many of the included studies of “add-on” therapies. Future clarification regarding the exact value of such therapies may only arise from adequately powered, multicentre clinical trials of tailored interventions for carefully selected COPD patient subgroups defined according to distinct clinical phenotypes.