(1) Background: We aimed to assess the effect of COPD in the incidence of hospital admissions for COVID-19 and on the in-hospital mortality (IHM) according to sex. (2) Methods: We used national hospital discharge data to select persons aged ≥40 years admitted to a hospital with a diagnosis of COVID-19 in 2020 in Spain. (3) Results: The study population included 218,301 patients. Age-adjusted incidence rates of COVID-19 hospitalizations for men with and without COPD were 10.66 and 9.27 per 1000 persons, respectively (IRR 1.14; 95% CI 1.08–1.20; p < 0.001). The IHM was higher in men than in women regardless of the history of COPD. The COPD was associated with higher IHM among women (OR 1.09; 95% CI 1.01–1.22) but not among men. The COPD men had a 25% higher risk of dying in the hospital with COVID-19 than women with COPD (OR 1.25, 95% CI 1.1–1.42). (4) Conclusions: Sex differences seem to exist in the effect of COPD among patients suffering COVID-19. The history of COPD increased the risk of hospitalization among men but not among women, and COPD was only identified as a risk factor for IHM among women. In any case, we observed that COPD men had a higher mortality than COPD women. Understanding the mechanisms underlying these sex differences could help predict the patient outcomes and inform clinical decision making to facilitate early treatment and disposition decisions.