Background: Dyspnea is highly distressing experience of breathlessness that limits the activities of daily living and affects an increasingly large group of patients with respiratory diseases such as chronic obstructive pulmonary disease (COPD). Aims: The aim of our study was to investigate the prevalence of dyspnea and its associated factors in patients with COPD. Patients and Methods: This cross-sectional study was carried out among 221 COPD patients of Tribhuvan University Teaching Hospital, Nepal. Patients' dyspnea was assessed using the modified Medical Research Council Dyspnea Scale and Dyspnea 12 Questionnaire. Patient's anxiety and depression were measured using Hospital Anxiety and Depression Scale, and COPD Assessment Test (CAT) was used to measure the impact of COPD. Mann–Whitney and Kruskal–Wallis test were used to find out the association between variables. Multiple regression analysis was used to find out the most significant factor associated with dyspnea. Results: Out of 221 patients, almost all (92.8%) patients had some degrees of dyspnea. Dyspnea was statistically significantly associated with age (P < 0.001), education (P < 0.001), marital status (P < 0.001), type of family (P = 0.009), working status (P < 0.001), duration of illness (P < 0.001), history of previous hospitalization (P < 0.001), status of hospitalization in the last year (P < 0.001), domiciliary oxygen therapy (P < 0.001), other comorbidities (P < 0.001), anxiety (P < 0.001), and depression (P < 0.001). Conclusions: This study concludes that dyspnea is highly prevalent in COPD, and duration of illness, depression, and CAT score were the most significant factors associated with dyspnea in patients with COPD.