Objective: Anxiety and depression are common comorbidities in people diagnosed with chronic obstructive pulmonary disease (COPD). Despite concomitant psychological symptomatology being reported in 22–48% of people with COPD, most literature focuses on identifying the risk factors for anxiety or depression separately. Therefore, our objective was to determine whether there is an association between people living with concomitant anxiety and depression and sociodemographic risk factors in people and living with COPD. Methods: This was a cross-sectional study of 242 people living with COPD. Symptomatology of anxiety and depression were assessed using the Beck Anxiety Inventory (BAI) and Beck Depression Inventory (BDI-II). Univariate and multivariable logistic regression models were used to test the association between symptomatology and demographic predictor variables. Odds ratios and 95% confidence intervals were derived. Results: Of the 242 people included, 48.8% (n = 118) had no symptoms of anxiety or depression and 33.5%% (n = 81) had symptomatology for both. Multivariable modelling suggested younger age, having a carer, having a previous psychological medical history, having a higher number of comorbidities and poorer quality of life were associated with concomitant anxiety and depression compared to those without symptomatology. Conclusion: Further work should be done to build upon our results which adds to the limited literature surrounding risk factors for concomitant psychological symptomatology to facilitate future discussion surrounding reducing these detrimental comorbidities in people with COPD.