Background: Depression and anxiety are common in patients with chronic respiratory diseases (CRDs), but their prevalence in intensive care settings, particularly in low-resource regions, remains underexplored. Objective: To assess the prevalence and severity of depression and anxiety in patients with CRDs admitted to an intensive care unit (ICU) and identify associated factors. Methods: A cross-sectional study was conducted at Gulab Devi Teaching Hospital, Lahore, Pakistan. Adult patients with CRDs admitted to the ICU were assessed using the Hamilton Depression Rating Scale. Statistical analyses included Fisher’s exact test, Mann–Whitney/Kruskal–Wallis tests, and logistic regression. Results: Depression was highly prevalent across all CRD categories: 83%, 89%, 84%, and 93% in obstructive, restrictive, infectious, and other respiratory disease categories, and severe depression in 16%, 18%, 14%, and 37%, respectively. Anxiety symptoms were also widespread (77–100%), with no significant differences across disease groups. Depression was significantly associated with older age (p < 0.001, OR 1.08) and anxiety symptoms (p < 0.001, OR 47.07). Female gender was linked to anxiety (p = 0.034, OR 4.17). Conclusion: The high burden of depression and anxiety in ICU patients with CRDs underscores the need for routine psychiatric screening and integrated mental health care in critical-care settings.