Anxiety is common in patients with chronic obstructive pulmonary disease (COPD). However, there is little evidence available regarding gender differences, and severity of dyspnea in relation to anxiety in patients with COPD. We examined gender differences and the association of dyspnea with anxiety in a cohort of patients with COPD prior to entering a pulmonary rehabilitation (PR) program. We analyzed data from a prospective cohort of COPD patients who attended PR from 2013 to 2019 in Lytham, Lancashire, UK. Patients were aged 40 years or older with a post-bronchodilation forced expiratory volume in 1 s (FEV1) less than 80 % of the predicted normal value and FEV1/FVC (forced vital capacity) ratio less than 0.7. We assessed quality of life (QoL) using the Saint George's Respiratory Questionnaire (SGRQ), anxiety using the Anxiety Inventory for Respiratory disease (AIR), dyspnea using the modified Medical Research Council (mMRC) scale, and exercise capacity using the Incremental Shuttle Walk Test (ISWT). Nine hundred ninety-three patients with COPD (mean age = 71 years, FEV1/FVC = 58 % predicted, 51 % male) entered the PR program. Of these, 348 (35 %) had anxiety symptoms (AIR ≥8); of these 165 (47 %) were male and 183 (53 %) female, (χ2 = 3.33, p = 0.06). On logistic multivariate analysis, the following variables were independently associated with elevated anxiety: younger age (p < 0.001), female sex (p = 0.03), higher SGRQ-total score (p < 0.001) and high FEV1/FVC (p < 0.002). Dyspnea was associated with anxiety r = 0.25, p < 0.001. Over a third of COPD patients had clinically relevant anxiety symptoms with a higher prevalence in women than men. Anxiety was associated with younger age, female gender, and impaired QoL. Early recognition and treatment of anxiety in patients with COPD is worthy of consideration for those attending PR, especially women. •Over one-third of COPD patients entering PR exhibit clinically relevant anxiety symptoms.•Anxiety is associated with younger age, female gender, and impaired QoL.•Higher severity of dyspnea was associated with a higher prevalence of anxiety.•Innovative, stratified approach and targeted intervention to treat breathlessness and anxiety are needed.