Background: To describe and analyze the incidence and hospital outcomes of patients admitted with community-acquired pneumonia (CAP) according to Chronic Obstructive Pulmonary Disease (COPD) status and sex in Spanish hospitals from 2016 to 2019. Methods: We conducted a cohort study using national hospital discharge data of all patients ≥40 years with CAP. Results: A total of 500,833 patients (59.0% men) was identified. Incidence of CAP increased over time. Age-adjusted incidence was 4.42-times higher in COPD patients. In-hospital mortality (IHM) was lower in men and women with COPD than in those without COPD (14.41% vs. 10.70% in men; 11.12% vs. 8.58%. in women; p < 0.001). The risk of dying in hospital increased with age, presence of several comorbidities (excluding T2DM that was a protective factor), and need for mechanical ventilation (non-invasive and invasive) during admission, irrespective of sex. Over time, the IHM decreased significantly in men and women with COPD. Men with COPD were significantly more likely to die in hospital than were COPD women (OR 1.13; 95% CI 1.07–1.21). Conclusions: Incidence of CAP was higher among subjects with COPD, although the effect of COPD was higher in men than in women. By contrast, IHM was lower in COPD patients, but men with COPD were significantly more likely to die in hospital than were COPD women.