Purpose: Anxiety and depression are often underdiagnosed and affect the prognosis of patients with chronic obstructive pulmonary disease (COPD). We analyzed data from the China Pulmonary Health (CPH) study to assess the prevalence of anxiety and depression in COPD patients and their relationship with disease severity. Patients and Methods: A total of 57,779 subjects aged 20 years or older were recruited in the CPH study. All participants were assessed using a standard questionnaire and underwent pulmonary function tests before and after the use of a bronchodilator in local health centers. The Hospital Anxiety and Depression Scale (HADS) questionnaire with a cutoff score of 8 was used to define anxiety and depression. The prevalence of anxiety and depression in patients of COPD were investigated. Multivariate logistic regression was used to investigate the effects of COPD and lung function on anxiety and depression. Results: A total of 49,053 participants (20,661 men and 28,392 women) completed the questionnaire with reliable post-bronchodilator pulmonary function test results and were included in the final analysis, of which 4686 (9.55%) were diagnosed with COPD. Of the patients with COPD, 10.79% had anxiety, 13.65% had depression, and 7.08% had anxiety and depression concomitantly. In the multivariate logistic regression analysis, COPD was not significantly associated with anxiety, depression, or both. After adjusting for confounders in model 1, patients in the GOLD III-IV group had a significantly higher risk of anxiety, depression, and their coincidence. After further adjusting for respiratory symptoms in model 2, lung function impairment in the GOLD III-IV group was only significantly associated with a higher risk of depression or at least one of anxiety and depression. Conclusion: Anxiety and depression are prevalent in patients with COPD in China. More severe lung function impairment is significantly associated with a higher risk of depression.