In addition to clinical comorbidities, psychological and neuropsychological problems are frequent in COPD and may affect pulmonary rehabilitation delivery and outcome. The aims of the study were to describe a COPD population in a rehabilitative setting as regards the patients depressive symptoms, anxiety, mild cognitive impairment (MCI) and self-reported adherence and to analyze their relationships; to compare the COPD sample MCI scores with normative data; and to investigate which factors might predict adherence to prescribed physical exercise. This was a multicenter observational cross-sectional study. Of the 117 eligible stable COPD inpatients, 84 were enrolled according to Global initiative for chronic Obstructive Lung Disease (GOLD) criteria (mainly in Stage III–IV). The assessment included Mini Mental State Examination (MMSE), Montreal Cognitive Assessment (MoCA), anxiety, depression and self-reported pharmacological and nonpharmacological adherence. From the MMSE, 3.6% of patients were found to be impaired, whereas from the MoCA 9.5% had a likely MCI. Patients referred had mild-severe depression (46.7%), anxiety (40.5%), good pharmacological adherence (80.3%) and difficulties in following prescribed diet (24.1%) and exercise (51.8%); they struggled with disease acceptance (30.9%) and disease limitations acceptance (28.6%). Most of them received good family (89%) or social (53%) support. Nonpharmacological adherence, depression, anxiety and MCI showed significant relations with 6-minute walking test, body mass index (BMI) and GOLD. Depression was related to autonomous long-term oxygen therapy modifications, disease perception, family support and MCI. In the multivariate logistic regression analysis, higher BMI, higher depression and lower anxiety predicted lower adherence to exercise prescriptions (P=0.0004, odds ratio =0.796, 95% CI =0.701, 0.903; P=0.009, odds ratio =0.356, 95% CI =0.165, 0.770; and P=0.05, odds ratio =2.361, 95% CI =0.995, 5.627 respectively). In COPD patients, focusing on pharmacological and nonpharmacological adherence enhance the possibility of tailored pulmonary rehabilitation programs.