The COVID-19 pandemic has affected the physical and mental health of people around the world. This may be particularly true for patients with life-threatening diseases. We analyzed the level of fear of COVID-19 (FCV-19S), the prevalence of anxiety (HADS-A) and depression (HADS-D) in pulmonary arterial and chronic thromboembolic pulmonary hypertension (PAH and CTEPH) patients during the COVID-19 pandemic. In this multicenter prospective study, 223 patients (63% females, 66% PAH) with age range 18–90 years were included. The fear of COVID-19 was high, at a mean level of 18.9 ± 7.4 points. Anxiety (HADS-A ≥ 8 points) was diagnosed in 32% of all patients, depression (HADS-D ≥ 8 points) in 21%, and anxiety or depression in 38%. FCV-19S was higher in woman and in elderly people (p = 0.02; p = 0.02, respectively). In the multivariate analysis, FCV-19S higher than the median increased the odds ratio of anxiety, but not of depression (R 6.4 (95%CI 2.0–20.0), p = 0.002; OR 1.9 (0.9–3.9), p = 0.06, respectively). History of COVID-19 increased risk of both HADS-A and HADS-D. Patients with PAH and CTEPH, especially woman over 65 years and those who had been infected with COVID-19, may need additional psychological support due to fear of COVID-19, anxiety or depression.