(1) Background: To assess the prevalence of mental disorders (depression and anxiety), psychological distress, and psychiatric medications consumption among persons suffering from COPD; to compare this prevalence with non-COPD controls and to identify which variables are associated with worse mental health. (2) Methods: This is an epidemiological case-control study. The data were obtained from the Spanish National Health Survey 2017. Subjects were classified as COPD if they reported suffering from COPD and the diagnosis of this condition had been confirmed by a physician. For each case, we selected a non-COPD control matched by sex, age, and province of residence. Conditional logistic regression was used for multivariable analysis. (3) Results: The prevalence of mental disorders (33.9% vs. 17.1%; < 0.001), psychological distress (35.4% vs. 18.2%; < 0.001), and psychiatric medications consumption (34.1% vs. 21.9%; < 0.001) was higher among COPD cases compared with non-COPD controls. After controlling for possible confounding variables, such as comorbid conditions and lifestyles, using multivariable regression, the probability of reporting mental disorders (OR 1.41; 95% CI 1.10-1.82).), psychological distress (OR 1.48; 95% CI 1.12-1.91), and psychiatric medications consumption (OR 1.38 95% CI 1.11-1.71) remained associated with COPD. Among COPD cases, being a woman, poor self-perceived health, more use of health services, and active smoking increased the probability of suffering from mental disorders, psychological distress, and psychiatric medication use. Stroke and chronic pain were the comorbidities more strongly associated with these mental health variables. (4) Conclusions: COPD patients have worse mental health and higher psychological distress and consume more psychiatric medications than non-COPD matched controls. Variables associated with poorer mental health included being a woman, poor self-perceived health, use of health services, and active smoking.

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