Depression and anxiety are prevalent comorbidities in COPD and often appear together. Numerous theoretical models have been proposed to explain this relationship, with most suggesting bidirectional and complex pathways. Mental health assessment in COPD remains too infrequent and should be integrated into standard practice. Appropriate use of mental health screening tools, diagnostic resources and referral pathways should be implemented for optimal management. There is evidence that depression and anxiety in COPD negatively impacts on important health outcomes, such as COPD symptom burden, physical function, health-related quality of life, adherence with recommended treatments and mortality whilst increasing disability, exacerbation rates, hospitalisations and length of stay. Treatment options for managing depression and anxiety in COPD are less frequently documented. Whilst some evidence exists supporting the efficacy of pulmonary rehabilitation, pharmacological therapy, cognitive behavioural therapy, self-management programmes, relaxation and palliative care interventions in managing depression and anxiety in COPD, there remains a paucity of high-quality studies in the field consequently limiting integration into evidence-based clinical guidelines.