Background: Patient-reported outcome (PRO) measures must be evaluated for their discriminatory, evaluative, and predictive properties. However, the predictive capability remains unclear. We aimed to examine the predictive properties of several PRO measures of all-cause mortality, acute exacerbation of chronic obstructive pulmonary disease (COPD), and associated hospitalization. Methods: A total of 122 outpatients with stable COPD were prospectively recruited and completed six self-administered paper questionnaires: the COPD Assessment Test (CAT), St. George’s Respiratory Questionnaire (SGRQ), Baseline Dyspnea Index (BDI), Dyspnoea-12, Evaluating Respiratory Symptoms in COPD and Hyland Scale at baseline. Cox proportional hazards analyses were conducted to examine the relationships with future outcomes. Results: A total of 66 patients experienced exacerbation, 41 were hospitalized, and 18 died. BDI, SGRQ Total and Activity, and CAT and Hyland Scale scores were significantly related to mortality (hazard ratio = 0.777, 1.027, 1.027, 1.077, and 0.951, respectively). The Hyland Scale score had the best predictive ability for PRO measures, but the C index did not reach the level of the most commonly used FEV1. Almost all clinical, physiological, and PRO measurements obtained at baseline were significant predictors of the first exacerbation and the first hospitalization due to it, with a few exceptions. Conclusions: Measurement of health status and the global scale of quality of life as well as some tools to assess breathlessness, were significant predictors of all-cause mortality, but their predictive capacity did not reach that of FEV1. In contrast, almost all baseline measurements were unexpectedly related to exacerbation and associated hospitalization.