Chronic obstructive pulmonary disease (COPD) is a major health problem, with increasing morbidity and mortality. There is a growing literature regarding the extra-pulmonary manifestations of COPD, which can have a significant impact on symptom burden and disease progression. Anaemia is one of the more recently identified co-morbidities, with a prevalence that varies between 4.9% and 38% depending on patient characteristics and the diagnostic criteria used. Systemic inflammation seems to be an important factor for its establishment and repeated bursts of inflammatory mediators during COPD exacerbations could further inhibit erythropoiesis. However, renal impairment, malnutrition, low testosterone levels, growth hormone level abnormalities, oxygen supplementation, theophylline treatment, inhibition of angiotensin-converting enzyme and aging itself are additional factors that could be associated with the development of anaemia. The present review evaluates the published literature on the prevalence and significance of anaemia in COPD. Moreover, it attempts to elucidate the reasons for the high variability reported and investigates the complex pathophysiology underlying the development of anaemia in these patients.