Sleep quantity, quality and symptoms of depression or anxiety potentially affect the level of daily physical activity (PAL) and plausibly counteracts benefits from pulmonary rehabilitation programs. Their collective impact on PAL is sparsely investigated, particularly in patients with severely progressed chronic obstructive pulmonary disease (COPD). Aim: To investigate if sleep quantity, quality and symptoms from self-reported hospital anxiety and depression scores (HADS) are associated with PAL. Methods: In this exploratory cross-sectional study data were analysed from 148 participants with COPD; GOLD grade II-IV; GOLD group B to D (52% female, mean 69.7 ± SD of 8.4 years, FEV1% predicted 33.6 ± 10.9, 6MWD 327 ± 122 m, CAT 20 ± 7 points), eligible for conventional outpatient hospital-based pulmonary rehabilitation. Participants had sleep and PAL measured 24 h per day for five consecutive days with an activPAL monitor. Adjusted negative binomial regression was applied to investigate the associations with PAL. Results: Participants walked median (25th, 75th percentile) of 2358 (1325.75; 3822.25) steps per day and 14% walked >5000 steps per day on average. Time in bed (TIB) were a median (25th, 75th percentile) of 8.3 (7.1; 9.7) hours and numbers of nocturnal sleeping bouts (NSB) were 1.5 (0.8; 3), Anxiety (HADS-A) and depression (HADS-D) scores were median (25th, 75th percentile) of 5 (3; 8) points and 3 (2; 6) points, respectively, whereof 29% (HADS-A) and 15% (HADS-D) reported scores ≥8 points indicating significant symptoms. The fully adjusted rate ratio (RR) for steps per day for TIB (hours) [RR 0.97 (95% CI: 0.92; 1.02)], NSB (numbers) [RR 1.02 (95% CI: 0.97; 1.07)] were not significantly associated with number of steps per day, while there was a significantly association with number of steps per day for HADS-A [RR 1.04 (95% CI: 1.01; 1.07)] and HADS-D [RR 0.95 (95% CI: 0.91; 0.99)]. Conclusion: This exploratory cross-sectional study found a statistically significant association between HADS-A and HADS-D with numbers of steps per day in patients with severe COPD.