Chronic obstructive pulmonary disease (COPD) is a serious contemporary health issue. Psychological co-morbidities such as anxiety and depression are common in COPD. Current evidence for treatment options to reduce anxiety and depression in patients with COPD was examined. There is evidence available for the efficacy of pharmacological treatments, cognitive behavioural therapy, pulmonary rehabilitation, relaxation therapy and palliative care in COPD. Therapeutic modalities that have not been proven effective in decreasing anxiety and depression in COPD, but which have theoretical potential among patients, include interpersonal psychotherapy, self-management programmes, more extensive disease management programmes, supportive therapy and self-help groups. Besides pulmonary rehabilitation that is only available for a small percentage of patients, management guidelines make scant reference to other options for the treatment of mental health problems. The quantity and quality of research on mental health treatments in COPD have historically been insufficient to support their inclusion in COPD treatment guidelines. In this review, recommendations regarding assessment, treatment and future research in this important field were made.