The relationship between depression and chronic obstructive pulmonary disease (COPD) is not fully understood. The comorbidity rate ranges from 18 to 84%, and depression is closely related to chronic inflammation, which affects how patients and the people around them perceive their condition. This study aims to examine the relationship between the psychophysical and social functioning of COPD patients who have been diagnosed with depression and the therapeutic benefits of selective serotonin reuptake inhibitors (SSRIs). This prospective study enrolled primary care patients diagnosed with COPD and depression. The entire period of this research was 3 years. The research was conducted at the Primary Health Center, Kragujevac, Serbia, in 87 patients for 8 weeks. The Hamilton Depression Scale (HAM-D) and Questionnaire for Quality of Life and Life Satisfaction Short Form (Q-LES-Q-SF) were used for psychiatric assessment. A positive correlation was found between the psychophysical and social functioning of the participants after 8 weeks of treatment with SSRIs. Based on the value of the phi correlation coefficient (phi = 0.5) obtained using the χ test, a large influence was observed in terms of life satisfaction and physical health ( < 0.05). In terms of physical functioning by gender, based on the value of the Pearson's coefficient (r) obtained with the χ test, it was shown that physical functioning was superior in the female respondents ( < 0.05). Treatment was found to improve depression in COPD after 8 weeks of therapy.