Anxiety and depression are common in patients affected by the chronic obstructive pulmonary disease (COPD). The degree of lung function might not explain anxiety and depression. Depression and anxiety are difficult to identify and treat as their symptoms often overlap with those of COPD. Also, increase the risk of re-hospitalization and mortality. Dyspnea and reduced exercise capacity are the mechanisms that lead to the symptoms of anxiety and depression associated with COPD. Pulmonary rehabilitation improves anxiety and depression in COPD.