This study reports on the prevalence and impact of pain in individuals with different chronic respiratory diseases attending pulmonary rehabilitation (PR). A retrospective review of medical records data was conducted for 488 participants who had attended a PR programme over a 2-year period. Data on pain and medication history taken from multidisciplinary medical records, together with participant demographics and PR outcomes, were extracted. We compared pain among participants with different types of chronic respiratory disease. The overall prevalence of pain was 77%, with a significantly higher prevalence among individuals with obstructive lung diseases (80%) compared with restrictive lung diseases (69%; = 0.04). Some participants (17%) who took pain medications did not discuss pain with their clinicians. The presence of pain and different reporting of pain did not have a negative impact on the PR programme completion rate ( = 0.74), improvements in exercise capacity ( = 0.51), or health-related quality of life (all four chronic respiratory disease questionnaire domains, >0.05). The prevalence of pain is high among individuals with chronic respiratory disease attending PR. The presence or absence of pain was not negatively associated with the programme completion rate or PR outcomes; therefore, pain should not deter clinicians from referring patients to PR.