Background: Quality of life is an umbrella concept that refers to all aspects of a person’s life, including health status and well-being. While health status measure focuses on the impact of the disease on physical functioning, well-being represents the self-representation of the emotional states related to the disease itself. Objectives: The objective of this study was to evaluate the psychological well-being and its determining factors in a real-life chronic obstructive pulmonary disease (COPD) population and to evaluate if patients with a different well-being differ in illness perception, health status and alexithymia. Methods: Psychological well-being (Psychological General Well-Being Index), health status (SF-36), illness perception (Illness Perception Questionnaire), alexithymia (Toronto Alexithymia Scale), as well as clinical parameters were assessed in COPD out-patients. Results: One hundred and sixty-four patients, with a mean forced expiratory volume in 1 s of 58.5%, were recruited. Forty percent of them had a moderately/severely impaired well-being, not correlated with forced expiratory volume in 1 s and the Charlson index value but significantly with the Medical Research Council score (p = 0.0001) that appeared to be the dominant factor. Patients with impaired well-being showed a different illness perception in terms of correct identification of symptoms, disease consequences, emotional representation and confidence in treatment compared with those having a positive well-being. The latter presented a lower alexithymia prevalence and a better health status. Conclusions: In order to minimize the disease-negative effects on patients’ lives, assessment of well-being and its determining factors, as well as planning specific behavioural, educational and therapeutic interventions seem to be relevant and useful.