Objectives Depression is a common comorbid condition in patients with chronic obstructive pulmonary disease (COPD) and has a higher prevalence than the general population. On the other hand, studies on the incidence of depression and quality of life in COPD patients often depend on a simple self-report questionnaire rather than a psychiatrist’s clinical assessment. Starting with accurately diagnosing depression, the purpose of this study was to evaluate the factors related to depression as well as how depression influences the quality of life. Methods The study included 30 patients diagnosed with COPD. All the patients were interviewed for a diagnosis of depression by a psychiatrist. They were divided into two groups: with and without depression. For dyspnea, the modified Medical Research Council (mMRC) scale was used to evaluate how it affected daily life. Short-Form Health Survey 36 and COPD assessment test (CAT) were used to assess the quality of life. Results The degree of COPD and respiratory symptoms were related, but the severity of COPD did not influence the quality of life. In the presence of depression, mMRC and CAT were higher, whereas PCS and MCS were lower than in those without depression. Patients with depression suffered more from dyspnea and had a lower quality of life. Conclusion This study suggests that the degree of COPD was not related to depression. With depression, however, it led to the aggravation of dyspnea and a deteriorated quality of life. Combined treatment is essential to improving the patients’ general well-being.