Anxiety is an important comorbidity in chronic obstructive pulmonary disease (COPD). We investigated if cognitive behavioural therapy (CBT), delivered by respiratory nurses, reduced symptoms of anxiety and was cost-effective. Patients with COPD and anxiety were randomised to CBT or self-help leaflets. Anxiety, depression and quality of life were measured at baseline, 3, 6 and 12 months. A cost-effectiveness analysis was conducted from a National Health Service hospital perspective and quality-adjusted life-years estimated using the EuroQol-5D questionnaire. In total, 279 patients were recruited. Group mean change from baseline to 3 months in the Hospital Anxiety and Depression Anxiety Subscale was 3.4 (95% CI 2.62–4.17, p<0.001) for the CBT group and 1.88 (95% CI 1.19–2.55, p<0.001) in the leaflet group. The CBT group was superior to leaflets at 3 months (mean difference in the Hospital Anxiety and Depression Anxiety Subscale was 1.52, 95% CI 0.49–2.54, p=0.003). Importantly, the CBT intervention was more cost-effective than leaflets at 12 months, significantly lowering hospital admissions and attendance at emergency departments. CBT delivered by respiratory nurses is a clinically and cost-effective treatment for anxiety in patients with COPD relative to self-help leaflets.