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Abstract The diagnosis of depression, a frequent comorbidity of chronic obstructive pulmonary disease (COPD), is often supported by questionnaires, such as the Patient Health Questionnaire 9 (PHQ-9). It is unknown to which extent its single questions are affected by the clinical characteristics of COPD patients. We addressed this question in 2255 GOLD grade 1–4 patients from the COSYCONET (COPD and Systemic Consequences - Comorbidities Network) COPD cohort. The dependence on COPD severity was assessed using symptoms, exacerbation risk (GOLD A-D; modified Medical Research Council dyspnoea scale (mMRC)), and frequent comorbidities as predictors of PHQ-9 results, while including age, gender, body mass index (BMI) and smoking habits as covariates. Symptoms and exacerbation risk were associated with depression in an additive manner, with mean elevations in the PHQ-9 sum score by 2.75 and 1.44 points, respectively. Asthma, sleep apnoea, gastrointestinal disorders, osteoporosis and arthritis were linked to increases by 0.8 to 1.3 points. Overall, the COPD characteristics contributed to the mean PHQ-9 score by increases from 4.5 or 5.2 to 6.3 points, respectively, when either taking GOLD A as reference or the absence of comorbidities. This finding was independent of the diagnosis of mental disorder or the intake of antidepressants. The presence of COPD led to an increase in the proportion of scores indicating depression from 12 to 22%. Single item analysis revealed homogenous effects regarding GOLD groups, but heterogeneous effects regarding GOLD grades. These findings indicate specific effects of COPD severity on the PHQ-9 depression score, especially symptoms and exacerbation risk, explaining the high prevalence of depression in COPD. Alternative explanations like an overlap of COPD severity and PHQ-9 items are discussed. Of note, we also found COPD treatment effects on depression scores.