This study provides comprehensive evidence that depressive symptoms in patients with acute exacerbation of chronic obstructive pulmonary disease (AECOPD) are closely associated with a triad of immune–neurobiological disturbances: (1) elevated inflammatory markers (IL-1β, TNF-α), (2) increased immune checkpoint activation (PD-1), and (3) reduced neurotrophic and anti-inflammatory protection (BDNF, IL-10). This evidence concerns the gene BDNF and chronic obstructive pulmonary disease.