Chronic obstructive pulmonary disease (COPD) is a common respiratory disorder that often co-occurs with depression and anxiety, worsening disease progression and reducing quality of life. A thorough review of the existing literature was conducted, including searches in PubMed, Embase, PsycINFO, and Cochrane Library databases up to 2024. This review encompasses a critical analysis of studies reporting on the prevalence, impact, and management of depression and anxiety in COPD patients. We found a high prevalence of psychological comorbidities in COPD patients, which were associated with worse disease outcomes, including increased exacerbations, hospitalizations, and reduced health-related quality of life. Diagnosing and managing these conditions is complex due to overlapping symptoms, necessitating a comprehensive patient care approach. While there has been progress in understanding COPD comorbidities, there is a need for more personalized and integrated treatments. This review emphasizes the need for increased awareness, tailored treatment plans, and further research for effective interventions.