Anxiety and depression are common entities in patients diagnosed with Chronic Obstructive Pulmonary Disease (COPD). This study aimed to determine the prevalence of affective comorbidity (depression and anxiety) associated with lung function, functional capacity, dyspnea, and quality of life; as well as the differences between groups of patients diagnosed with COPD associated with biomass (COPD-BE) and patients with COPD secondary to tobacco (COPD-TS). Comparative cross-sectional observational study. Multiple hierarchical regression models, analysis of variance, and covariance were carried out. A total of 291 COPD patients were evaluated, symptoms of depression were found to be higher in patients with COPD-BE than in patients with COPD-TS (5.3 ± 4.2 versus 4.2 ± 4, 1, p = 0.016), as well as anxiety complications (4.1 ± 3.8 versus 3.8 ± 3.3, p = 0.095), although with anxiety it was not statistically significant, being adjusted for age and FEV1. Patients with COPD-BE had higher prevalence of depression, compared to COPD-TS (41.2% versus 27.7%, p = 0.028). In the multivariate regression models, the variables of dyspnea and quality of life were associated with depression and anxiety, explaining 25% and 24% of the variability, respectively. Depression is higher in COPD-BE patients compared to COPD-TE patients, it is necessary to consider affective comorbidity in routine evaluation and provide a comprehensive intervention to prevent the effects on other clinical conditions of the disease.