Depression andnxiety are psychiatric conditions often associated with poor survival rate and impaired social functioning in chronic illnesses, like chronic obstructive pulmonary disease (COPD). COPD is a major cause of chronic morbidity and mortality, being nowadays the fourth leading cause of mortality worldwide and the burden of this disease is increasing as the population is ageing and it is continuously exposed to risk factors. Common mechanisms for explaining the association of anxiety, depression and COPD include cigarette smoke exposure, physical inactivity, social isolation, multiple episodes of dyspnea and chronic hypoxia. BODE index and MMRC dyspnea score could be associated with anxiety and depression in COPD patients and the screening usually implies administration of simple questionnaires. Therapeutic options for anxiety include serotonin-reuptake inhibitors, which decrease the perception of dyspnea, while newer antidepressants, such as venlafaxine, duloxetine and mirtazapine are particularly useful in depression, since they do not produce respiratory depression.