Im new to the forum , but the depression thing has been a huge worry for me also. thanks for posting and how are you doing now ,sincce its been a mo or so since you posted?
I am sure that depression is very common with copd as (1)it is a progressive disease for which there is no cure, (2) doctors (in my area, at least) often fail to treat symptoms aggressively, (3) public opinion is that we copd suffers deserve copd because we smoked (drug addicts, alcoholics, and obesity seem to be viewed with much more sympathy), (4) lack of research dollars to look for a cure (related to #3 above), and (5) the fact that lung transplants are not a cure. For these reasons, I think depression is inevitable with copd.
This is a very common problem with those who have COPD. There are several reasons for this. Have patience and work with your psychiatrist to control the depression. Knowing you feel this way is a step in the right direction.