Oxidative stress is now recognized as a major predisposing factor in the pathogenesis of COPD. Existing therapies for COPD are ineffective at halting disease progression, with bronchodilators being the mainstay of pharmacotherapy, providing symptomatic relief only. It is, therefore, important for a better understanding of the underlying mechanisms by which oxidative stress drives disease pathogenesis to develop novel and more effective therapies. Antioxidant capacity in COPD is substantially reduced as a result of cigarette smoking and exacerbations, with oxidative stress persisting long after the cessation of cigarette smoking or exacerbation, due to the continued production of reactive oxygen species from endogenous sources. We discuss (1) how oxidative stress arises in the lung, (2) how it is neutralized, (3) what genetic factors may predispose to the development of COPD, and (4) how this impacts inflammation and autoimmunity in the development of emphysema and small airways disease. Finally, various strategies have been considered to neutralize the increased oxidative burden present in COPD. This review highlights why current antioxidant strategies have so far failed and what promising alternatives are on the horizon. Moreover, a number of studies have shown that there is no single “magic bullet” to combat oxidative stress, but instead a combination therapy, targeting oxidative stress in the various subcellular compartments, may prove to be more effective in COPD.