The aim of this study was to determine whether treating concomitant depression improves quality of life and exercise tolerance in COPD patients. Out-patients with moderate to severe, stable COPD completed Hospital Anxiety-Depression (HAD) and General Health questionnaires. A psychiatrist interviewed those with high scores. In a randomised, double-blind fashion, 28 depressed COPD patients took a selective serotonin re-uptake inhibitor, Paroxetine 20 mg daily, or matched placebo for 6 weeks. Subsequently, all patients took un-blinded Paroxetine for 3 months. From these questionnaires, 35% of 135 patients had significant depression, but this was confirmed by psychiatric interview in only 21%. Throughout the study, there were no changes in laboratory lung function nor in home peak flow. Six weeks' treatment produced no significant differences between placebo and treatment group in either depression, quality of life scores or 6-minute walking distances, although overall improvements in depression, correlated with increases in walking distance. Three months of un-blinded treatment, significantly improved depression scores (self-complete HAD, Beck's Depression and psychiatrist-completed Montgomery-Asberg scores), walking distances (369 to 427 m, p = 0.0003) and St. George's Respiratory Questionnaire Total Scores (65 to 58, p = 0.033). Although self-complete questionnaires over-diagnose depression, the condition is nevertheless common in patients with moderately severe COPD. Six weeks of antidepressants is insufficient to improve either depression, quality of life or exercise tolerance. However, our study suggests that a longer course of treatment may be effective and that improvements in depression are associated with improvements in exercise tolerance. A larger, double blind study with a longer treatment period is indicated.