Chronic obstructive pulmonary disease (COPD) affects the lives of individuals in a number of ways; it causes an increase in the need for help and support and a decline in self-care agency and quality of life. This research has been conducted in patients with COPD hospitalized in the Pulmonary Department of Erzincan State Hospital in the eastern Turkey to examine the effect of anxiety and depression on self-care agency and quality of life (n = 135). The results showed that 69.6% and 85.6% of the patients were at risk for anxiety and depression, respectively, and that the mean scores of self-care agency and quality of life decreased as the mean scores of anxiety and depression increased. It was also established that the mean score of the quality of life increased as the mean score of self-care agency went up. It could be concluded that the majority of the patients are at risk for anxiety and depression and that presence of anxiety or depression has a negative effect on the self-care agency and the quality of life. The recognition and treatment of depression and anxiety in patients with COPD provide significant improvements in self-care agency and quality of life of patients.