Purpose: Patients with chronic obstructive pulmonary disease (COPD) and symptoms of depression have increased health care utilization and lower quality of life. There is a knowledge gap regarding feasible and effective approaches for the management of depressive symptoms in patients with COPD. The objective of this randomized clinical trial sub-study is to determine whether 12-weeks of home-based pulmonary rehabilitation (PR) with health coaching is feasible and effective for improving depressive symptoms in patients with COPD. Methods: Patients with severe COPD and symptoms of depression (Patient Health Questionnaire-9 [PHQ-9] ≥5 points) randomized to the intervention (N = 90) or control (N = 78) groups in the parent study were included. The primary outcome of this sub-study was the 12-week change in the PHQ-9 score. Secondary outcomes included dyspnea, fatigue, emotions, and mastery (self-management) as measured by the Chronic Respiratory Questionnaire (CRQ) and daily physical activity and sleep measured by ActiGraph. Results: Home-based PR with health coaching was associated with improved measures of depression ( P = .07), dyspnea, fatigue, emotion, and mastery (self-management) ( P < .001). Being in the intervention group was associated with a higher odds of improving by the minimal clinically important difference on the PHQ-9 (OR = 2.10: 95% CI, 1.06-4.27), CRQ-Dyspnea (OR = 2.37: 95% CI, 1.11-5.26), CRQ-Fatigue (OR = 3.35: 95% CI, 1.59-7.35), CRQ-Emotions (OR = 4.59: 95% CI, 2.13-10.40), and CRQ-Mastery (OR = 3.36: 95% CI 1.60-7.28) after multivariable adjustment. The improvement in depression symptoms was maintained for 3 and 6 months after finishing the intervention. Conclusion: Home-based PR with health coaching is feasible and possibly effective in improving depressive symptoms and quality of life in patients with COPD and symptoms of depression.