Background: The role of anxiety and depression in the physical activity (PA) of patients with COPD is controversial. We prospectively assessed the effect of symptoms of anxiety and depression on PA in COPD patients. Methods: We evaluated anxiety and depression (Hospital Anxiety and Depression Scale [HADS]), PA (Dynaport® accelerometer), and other relevant characteristics in 220 COPD patients from five European countries at baseline and at 6 and 12 months of follow-up. HADS score was categorized as: no symptoms (score 0–7), suggested (8–10), and probable (>11) anxiety or depression. We estimated the association between anxiety and depression at t (baseline and 6 months) and PA at t+1 (6 and 12 months) using regression models with a repeated measures approach. Results: Patients had a mean (standard deviation) age of 67 (8) years, forced expiratory volume in 1 second 57 (20)% predicted. At baseline, the prevalence of probable anxiety and depression was 10% and 5%, respectively. In multivariable models adjusted by confounders and previous PA, patients performed 81 fewer steps/day (95% confidence interval, –149 to –12, P=0.02) per extra point in HADS-depression score. HADS-anxiety symptoms were not associated with PA. Conclusion: In COPD patients, symptoms of depression are prospectively associated with a measurable reduction in PA 6 months later.