Respiratory health is a focus of interdisciplinary studies involving urban planning and public health. Studies have noted that urban built environments have impacts on respiratory health by influencing air quality and human behavior such as physical activity. The aim of this paper was to explore the impact of urban built environments on respiratory health, taking chronic obstructive pulmonary disease (COPD) as one of the typical respiratory diseases for study. A cross-sectional study was conducted including all cases (N = 1511) of death from COPD in the high-density Jing’an district of Shanghai from 2001 to 2010. Proxy variables were selected to measure modifiable features of urban built environments within this typical high-density district in Shanghai. A geographically weighted regression (GWR) model was used to explore the effects of the built environment on the mortality of COPD and the geographical variation in the effects. This study found that land use mix, building width-height ratio, frontal area density, and arterial road density were significantly correlated to the mortality of COPD in high-density urban area. By identifying built environment elements adjustable by urban planning and public policy, this study proposes corresponding environmental intervention for respiratory health.