Hi Nama, and thanks for your post and question. You may be aware we cannot provide medical advice or diagnostics over the internet (for your own safety), but your concerns certainly warrant a reply.
Many in our community have expressed similar concerns when it comes to COPD, steroids, and anxiety so, you are definitely not alone! It's understandable the frustration you're feeling based on steroids causing the anxiety (but helping the COPD), and the psychiatrist cautioning you about taking (or not taking!), steroids.
Although this can be challenging, I would suggest that you encourage the doctor and the psychiatrist to consult with one another (and you!), to determine how best to manage both the disease (COPD), and the anxiety that you are feeling. The patient always does better when doctors collaborate in the patient's best interest.
What do you think?
Leon (site moderator COPD.net)