Patients with COPD exhibit limited exercise endurance time compared to healthy age-matched individuals. Oxygen supplementation is often applied to improve endurance time during pulmonary rehabilitation in patients with COPD and thus a comprehensive understanding of the mechanisms leading to improved endurance is desirable. This review analyses data from two studies by our research group investigating the effect of oxygen supplementation on cerebrovascular, systemic, respiratory and locomotor muscle oxygen availability on the same cohort of individuals with advanced COPD, and the mechanisms associated with improved endurance time in hyperoxia, which was essentially doubled (at the same power output). In hyperoxia at isotime (the time at which patients became exhausted in normoxia) exercise was associated with greater respiratory and locomotor muscle (but not frontal cortex) oxygen delivery (despite lower cardiac output), lower lactate concentration and less tachypnoea. Frontal cortex oxygen saturation was higher, and respiratory drive lower. Hence, improved endurance in hyperoxia appears to be facilitated by several factors: increased oxygen availability to the respiratory and locomotor muscles, less metabolic acidosis, and lower respiratory drive. At exhaustion in both normoxia and hyperoxia, only cardiac output and breathing pattern were not different between conditions. However, minute ventilation in hyperoxia exceeded the critical level of ventilatory constraints (V E/MVV > 75–80%). Lactate remained lower and respiratory and locomotor muscle oxygen delivery greater in hyperoxia, suggesting greater muscle oxygen availability improving muscle function. Taken together, these findings suggest that central haemodynamic and ventilatory limitations and not contracting muscle conditions dictate endurance time in COPD during exercise in hyperoxia.