Background: There is a general notion that stressful life events may cause mental and physical health problems. Objectives: We aimed to describe stressful life events reported by patients with chronic obstructive pulmonary disease (COPD) and to assess their impact on health outcomes and behaviors. Methods: Two hundred and sixty-six primary care patients who participated in the ICE COLD ERIC cohort study were asked to document any stressful life events in the past 3 years. We assessed the before-after (the event) changes for symptoms of depression and anxiety, health status, dyspnea-related quality of life, exacerbations, cigarette use, and physical activity. We used linear regression analysis to estimate the crude and adjusted magnitude of the before-after changes. Results: About 41% (110/266) of patients reported the experience of any stressful life events and “death of relatives/important persons” was most common (31%). After accounting for age, sex, living status, lung function, and anxiety/depression status at baseline, experiencing any stressful life events was associated with a 0.9-point increase on the depression scale (95% CI 0.3 to 1.4), a 0.8-point increase on the anxiety scale (95% CI 0.3 to 1.3), and a 0.8-point decrease in the physical activity score (95% CI –1.6 to 0). Conclusions: Experiencing stressful life events was associated with a small to moderate increase in symptoms of depression and anxiety in COPD, but no discernable effect was found for other physical outcomes. However, confirmation of these results in other COPD cohorts and identification of patients particularly vulnerable to stressful life events are needed.