This is a systematic review and meta-analysis that was published in 2016. 
Eight controlled studies were included in the review. The number of participants in the pooled studies was of 5.552 COPD subjects and 5.211 controls. The depression prevalence was 27.1% [25.9-28.3] in COPD patients and 10.0% [9.2-10.8] in the control group. The pooled odds ratio and 95% CI was 3.74 [2.4-5.9].
1 Matte DL, Pizzichini MMM, Hoepers ATC, et al. Prevalence of depression in COPD: A systematic review and meta-analysis of controlled studies. Respir Med 2016;117:154–61. doi:10.1016/j.rmed.2016.06.006