Chronic obstructive pulmonary disease (COPD) is the third-leading cause of mortality globally, significantly affecting people over 40 years old. COPD is often comorbid with mood disorders; however, they are frequently neglected or undiagnosed in COPD management, thus resulting in unintended treatment outcomes and higher mortality associated with the disease. Although the exact link between COPD and mood disorders remains to be ascertained, there is a broader opinion that inflammatory reactions in the lungs, blood, and inflammation-induced changes in the brain could orchestrate the onset of mood disorders in COPD. Although the current management of mood disorders such as depression in COPD involves using antidepressants, their use has been limited due to tolerability issues. On the other hand, as omega-3 polyunsaturated fatty acids (n-3 PUFAs) play a vital role in regulating inflammatory responses, they could be promising alternatives in managing mood disorders in COPD. This review discusses comorbid mood disorders in COPD as well as their influence on the progression and management of COPD. The underlying mechanisms of comorbid mood disorders in COPD will also be discussed, along with the potential role of n-3 PUFAs in managing these conditions.