The objective of this study was to investigate the discriminant validity of commonly used depression and anxiety screening tools in order to determine the most suitable tool for patients with chronic obstructive pulmonary disease (COPD). COPD patients ( n = 56) completed the Hospital Anxiety and Depression Scale (HADS), Beck Depression Inventory (BDI-II) and Beck Anxiety Inventory (BAI). These scores were compared to confirmed clinical diagnoses of depression and anxiety using the Mini Neuropsychiatric Interview. HADS depression subscale (HADS-D) sensitivity/specificity was 78/81%; BDI-II 89/77%; HADS anxiety subscale (HADS-A) 71/81%; and BAI 89/62%. HADS-D sensitivity/specificity was improved (100/83%) with the removal of Q4 ‘I feel as if I am slowed down’ and adjusted cut-off (≥5). Removal of BDI-II Q21 ‘Loss of interest in sex’ with adjusted cut-off ≥12 resulted in similar improvement (100/79%). No problematic items were identified for HADS-A or BAI. Previously reported low sensitivity/specificity of the HADS for COPD patients was not replicated. Furthermore, simple modifications of the HADS-D markedly improved sensitivity/specificity for depression. BDI-II, HADS-A and BAI produced acceptable sensitivity/specificity unmodified. Pending further research for COPD patients we recommend continued use of the HADS-A with standard cut-off (≥8) and removal of Q4 of the HADS-D with lower cut-off ≥5.