The chronic obstructive pulmonary disease is a frequent and increasing disease in Western countries. Psychiatric comorbidities, such as depression or anxiety, are often observed and have a major impact on the quality of life and on the prognosis of the patients. Several models based on physiopathological and behavioral psychotherapy researches help us to understand this association between somatic and psychiatric disease. The detection and the treatment of these comorbidities are challenges for the practitioner and make a multidisciplinary approach recommended. This article aims to summarize the current state of the knowledge in this domain and to present to the practitioners the various pharmacological and psychotherapeutic options.