BACKGROUND: Depression associated with Chronic Obstructive Pulmonary Disease (COPD) is a detrimental complication that significantly impairs patients' quality of life. This study aims to develop an online predictive model to estimate the risk of depression in COPD patients. METHODS: This study included 2921 COPD patients from the 2018 China Health and Retirement Longitudinal Study (CHARLS), analyzing 36 behavioral, health, psychological, and socio-demographic indicators. LASSO regression filtered predictive factors, and six machine learning models-Logistic Regression, Support Vector Machine, Multilayer Perceptron, LightGBM, XGBoost, and Random Forest-were applied to identify the best model for predicting depression risk in COPD patients. Temporal validation used 2013 CHARLS data. We developed a personalized, interpretable risk prediction platform using SHAP. RESULTS: A total of 2921 patients with COPD were included in the analysis, of whom 1451 (49.7 %) presented with depressive symptoms. 11 variables were selected to develop 6 machine learning models. Among these, the XGBoost model exhibited exceptional predictive performance in terms of discrimination, calibration, and clinical applicability, with an AUROC range of 0.747-0.811. In validation sets encompassing diverse population characteristics, XGBoost achieved the highest accuracy (70.63 %), sensitivity (59.05 %), and F1 score (63.17 %). LIMITATIONS: The target population for the model is COPD patients. And the clinical benefits of interventions based on the prediction results remain uncertain. CONCLUSION: We developed an online prediction platform for clinical application, allowing healthcare professionals to swiftly and efficiently evaluate the risk of depression in COPD patients, facilitating timely interventions and treatments.