(1) Background: To describe trends in the prevalence of depression in men and women with COPD hospitalized in Spain (2016–2020). (2) Methods: We used a nationwide discharge database to select all patients ≥35 years with COPD. (3) Results: The prevalence of depression was 3.54-times higher in women with COPD than in men (OR 3.54; 95%CI 3.48–3.6). It decreased significantly between 2016 and 2020, although the reduction was only significant in women (12.27% in 2016 vs. 10.56% in 2020). Older age, comorbidity and the most recent years of hospital admission were associated with lower prevalence of depression in both men and women, while obesity, obstructive sleep apnea (OSA) and use of oxygen prior to admission were risk factors. In-hospital mortality (IHM) increased significantly over time. Older age, comorbidity, the use of oxygen prior to admission and having been hospitalized in 2020 increased the risk of IHM. Female sex was associated with a lower IHM in patients with depression and COPD. (4) Conclusions: The prevalence of depression has decreased over time in women with COPD while it has not changed significantly in men with this disease. IHM increased over time both in men and women with COPD and depression, with higher prevalence in the former.