Chronic obstructive pulmonary disease (COPD) is irreversible and causes a progressive reduction in physical functioning. There is evidence that emotional distress contributes to loss of function and that improvements may be obtained via psychologically based interventions to alleviate anxiety and panic. This systematic review examined the most effective interventions to date. A literature search revealed 25 studies; these were assessed using standardised criteria for inclusion and quality. Six randomised, controlled trials fulfilled the criteria, but the variety of methods, interventions and measures prevented the use of a meta-analysis. Two studies were unpublished doctoral theses, four were published studies. All of the studies had one or more deficiencies; failure to measure or report lung function, large variation in attrition, lack of blinding in assessment of treatment outcome, lack of use of standardised anxiety measures. Description of the intervention was not always sufficient to allow replication. There were no trials of interventions aimed at reducing panic. No study was adequately designed to provide an assessment of psychological intervention aimed at anxiety in COPD. Secondary outcomes included impacts on breathlessness, disability and quality of life. It can be concluded that currently there is insufficient research of quality on which to base recommendations for effective interventions for anxiety and panic in COPD. Future research should tie the design of evaluation to interventions based on theories of the relationship between dyspnoea and anxiety.