Chronic obstructive pulmonary disease (COPD) is a debilitating lung disease characterized by chronic airflow limitation and persistent respiratory symptoms. It is a major cause of morbidity and mortality worldwide, significantly impacting healthcare systems with considerable socioeconomic consequences. The main risk factors include exposure to tobacco smoke, environmental pollutants, occupational dust, and genetic factors such as alpha-1 antitrypsin deficiency. COPD is often associated with extrapulmonary comorbidities, particularly psychiatric disorders like depression and anxiety, which worsen patients’ quality of life and prognosis. The prevalence of these disorders in patients with COPD varies significantly but is always higher than in healthy controls. Psychiatric disorders can negatively influence COPD management and vice versa, creating a complex bidirectional interaction. Depression and anxiety are the most common psychiatric comorbidities in patients with COPD, influenced by factors such as social isolation, physical limitations, and fear of exacerbations. Diagnosis of these psychiatric disorders is complicated by the overlap of symptoms with those of COPD. However, some screening tools can facilitate early detection. The treatment of psychiatric disorders in patients with COPD in a rehabilitation setting requires a multidisciplinary approach involving pulmonologists, neurologists and psychologists. Pharmacological therapy with antidepressants shows mixed results in terms of efficacy and safety, with some studies reporting benefits on quality of life and others suggesting an increased risk of exacerbations and pneumonia. An integrated approach that includes the assessment and intervention of mental disorders is essential to improve the overall management of COPD and the quality of life of patients. This narrative review provides an overview of the main psychiatric comorbidities in COPD patients, aiming to fill gaps in the literature and suggest areas for future research.