Background: The clinical characteristics of chronic cough with pre-existing psychological co-morbidity (PCC) and chronic cough with secondary anxiety and depression (SCC) were compared to provide a basis for diagnosing and treating psychological co-morbidities in people with chronic cough. Methods: A prospective study was conducted to analyze the general clinical data between the PCC, SCC, and the chronic cough without anxiety and depression (CC) groups. A total of 203 patients with chronic cough were enrolled in the study. The final diagnosis was made in all cases using a combination of psychosomatic and respiratory diagnoses. The three groups’ general clinical data, capsaicin cough sensitivity, cough symptom score, Leicester cough questionnaire (LCQ), and psychosomatic scale scores were compared among the three groups. The diagnostic value of the patient health questionnaire (PHQ)-9 and general anxiety disorder (GAD)-7 in patients with PCC and the follow-up information were analyzed. Results: Compared with the SCC group, the duration of cough in the PCC group was shorter (H = −3.54, p = 0.001), the night cough symptoms were milder (H = −4.60, p