Pulmonary rehabilitation (PR) improves exercise capacity and quality of life (QOL) while reducing dyspnea in patients with COPD. However, little is known about the efficacy of PR, cognitive behavioral therapy (CBT), or antidepressant drug therapy on psychosocial factors in patients with COPD. Knowledge gaps include which therapy is most efficacious, what barriers exist for each treatment, and the optimal duration of each intervention. Potential barriers to antidepressant therapy include patient fears of potential adverse effects, apprehension and misconception, and stigma related to depression. Both CBT and PR reduce anxiety and depressive symptoms in short-term studies. However, their potential benefits over medium-to-long-term follow-up and specifically on psychosocial factors warrant exploration. Furthermore, new emerging treatment strategies such as the collaborative care model and home-based telehealth coaching are promising interventions to promote patient-centered care treatment and reduce psychosocial factors adversely affecting patients with COPD. This update and critical synthesis reviews the effectiveness of both pharmacologic and non-pharmacologic interventions on psychosocial factors in patients with COPD. It also provides brief screening tools used in the assessment of anxiety and depression for patients with COPD.