Chronic obstructive pulmonary disease (COPD) is a major cause of morbidity and disability in the elderly. The two common psychiatric conditions in COPD patients are anxiety and depression. This article reviews the level of evidence available on the management of anxiety and depression in patients with COPD. Depression and anxiety are associated with a greater level of physical disability, impaired quality of life, increased usage of healthcare services, noncompliance with medical treatment and elevated risk of mortality. The findings of the available literature suggest that antidepressant drug therapy, pulmonary rehabilitation, cognitive behavioral therapy, education and self-management are inconclusive in the treatment of anxiety and depression. This review also highlights our current understanding of the etiology of anxiety and depression, and assessment tools and implications for treatment. The collaborative care model (CCM) has been shown to be beneficial in the treatment of depression and acceptable for older patients in primary-care settings. It is worth investigating the benefits of CCM in patients with COPD. Healthcare providers should invest more time and resources into staff training to overcome barriers in the detection and treatment of depression and anxiety in order to improve the quality of life and survival in patients with COPD. Expected future considerations and developments in this field are also discussed.