This study aimed to describe the prevalence of comorbidities associated with chronic obstructive pulmonary disease (COPD) and their relation with relevant outcomes. A systematic review based on the PRISMA methodology was performed from January 2020 until July 2021. The MEDLINE, Lilacs, and Scielo databases were searched to identify studies related to COPD and its comorbidities. Observational studies on the prevalence of comorbidities in COPD patients and costs with health estimates, reduced quality of life, and mortality were included. Studies that were restricted to one or more COPD pain assessments and only specific comorbidities such as osteoporosis, bronchitis, and asthma were excluded. The initial search identified 1,409 studies and after applying the inclusion and exclusion criteria, 20 studies were finally selected for analysis (comprising data from 447,459 COPD subjects). The most frequent COPD comorbidities were: hypertension (range, 17%–64.7%), coronary artery disease (19.9%–47.8%), diabetes (10.2%–45%), osteoarthritis (18%–43.8%), psychiatric conditions (12.1%–33%), and asthma (14.7%–32.5%). Several comorbidities had an impact on the frequency and severity of COPD exacerbations, quality of life, and mortality risk, in particular malignancies, coronary artery disease, chronic heart failure, and cardiac arrhythmias. Comorbidities, especially cardiovascular diseases and diabetes, are frequent in COPD patients, and some of them are associated with higher mortality.