The objectives of this study were to characterize and clarify the relationships between the various cognitive domains affected in COPD patients and the disease itself, as well as to determine the prevalence of impairment in the various cognitive domains in such patients. To that end, we performed a systematic review using the following databases: PubMed, Scopus, and ScienceDirect. We included articles that provided information on cognitive impairment in COPD patients. The review of the findings of the articles showed a significant relationship between COPD and cognitive impairment. The most widely studied cognitive domains are memory and attention. Verbal memory and learning constitute the second most commonly impaired cognitive domain in patients with COPD. The prevalence of impairment in visuospatial memory and intermediate visual memory is 26.9% and 19.2%, respectively. We found that cognitive impairment is associated with the profile of COPD severity and its comorbidities. The articles reviewed demonstrated that there is considerable impairment of the cognitive domains memory and attention in patients with COPD. Future studies should address impairments in different cognitive domains according to the disease stage in patients with COPD.