Individuals with COPD have a higher prevalence of co-morbid depression than either the general population or patients with other chronic illnesses. The best estimates report a prevalence of approximately 40% in COPD patients, compared to 15% in the general population. Depression in COPD patients leads to a lower quality of life, greater objective impairment in function, and decreased adherence to therapeutic interventions. While many depressed COPD patients have been treated empirically with antidepressants—subjecting them to antidepressant side effects, toxicities, and costs—there is a surprising lack of evidence supporting or directing that treatment. We review the current literature regarding the management of depression in COPD, suggest strategies for management, and future research needs.