Background: Comorbidities probably contribute to the increased mortality observed among subjects with chronic obstructive pulmonary disease (COPD), but sex differences in the prognostic impact of comorbidities have rarely been evaluated in population-based studies. The aim of this study was to evaluate the impact of common comorbidities, cardiovascular disease (CVD), diabetes mellitus (DM), and anxiety/depression (A/D), on mortality among men and women with and without airway obstruction in a population-based study. Methods: All subjects with airway obstruction [forced expiratory volume in 1 second (FEV1)/(forced) vital capacity ((F)VC) <0.70, n = 993] were, together with age- and sex-matched referents, identified after examinations of population-based cohorts in 2002–2004. Spirometric groups: normal lung function (NLF) and COPD (post-bronchodilator FEV1/(F)VC <0.70) and additionally, LLN-COPD (FEV1/(F)VC <lower limit of normal). Mortality data was collected until December 2015. Results: In COPD, the prevalence of CVD and DM was higher in men, whereas the prevalence of A/D was higher in women. The cumulative mortality was significantly higher in COPD than NLF, and higher in men than women in both groups. Among women with COPD, CVD and A/D but not DM increased the risk of death independent of age, body mass index, smoking habits, and disease severity, whereas among men DM and A/D but not CVD increased the risk for death. When the LLN criterion was applied, the pattern was similar. Conclusion: There were sex-dependent differences regarding the impact of comorbidities on prognosis in COPD. Even though the prevalence of CVD was higher in men, the impact of CVD on mortality was higher in women, and despite higher prevalence of A/D in women, the impact on mortality was similar in both sexes. The reviews of this paper are available via the supplemental material section.