Depression and anxiety are related to physical activity among people with chronic obstructive pulmonary disease (COPD), although the strength and direction of the reported relationships are inconsistent. This study systematically synthesized the relationships between physical activity and i) depression and ii) anxiety in people with COPD. Physical activity measurement type (objective, self-report) was examined as a moderator of these relationships. A systematic search of physical activity and COPD was conducted from inception to February 2022 across 8 databases. Studies were included if they provided correlation coefficients for the relationship between measures of physical activity and depression or anxiety in people with COPD and were published in English. Two reviewers independently screened, reviewed and extracted data, with discrepancies resolved by a third reviewer. Across 13 studies, a small relationship was found between physical activity and depression, weighted r = -0.15, 95%CI [-0.21, -0.10], which was not moderated by physical activity measurement type. Across 8 studies, a negligible relationship was found between physical activity and anxiety, weighted r = -0.03, 95%CI [-0.11, 0.04], although this was moderated by physical activity measurement type, such that self-reported physical activity had a small negative relationship with anxiety (weighted r = -0.09, 95% CI [-0.15, -0.03]) and objectively measured physical activity had a small positive relationship (weighted r = 0.07, 95% CI [-0.13, 0.26]). In COPD, the bivariate association between physical activity and anxiety and depression are small.