Chronic obstructive pulmonary disease (COPD) is a heterogeneous lung condition characterized by obstructive airflow limitation. It is the fourth leading cause of death worldwide, responsible for 3.5 million deaths in 2021. The main symptoms include shortness of breath, cough, sputum production, and wheezing. Beyond its physical impact, COPD also significantly affects mental health, with patients experiencing higher rates of depression compared to the general population. Depression in COPD patients contributes to a lower quality of life, social disability, and an increased risk of suicide. The pathophysiological mechanisms behind depression in COPD are complex and multifactorial, involving chronic inflammation, hypoxemia, oxidative stress, and various risk factors such as smoking, severe dyspnea, poor health-related quality of life (HRQoL), lower educational levels, socio-economic disadvantage, and the presence of non-psychological comorbidities. This review aims to summarize the existing data on the association between COPD and depression, analyze their pathophysiological connections, explore treatment possibilities, and highlight the interrelationships between these conditions.