Patients with severe chronic obstructive pulmonary disease (COPD) experience frequent acute exacerbations and require repeated courses of corticosteroid therapy, which may lead to adverse effects. Methotrexate (MTX) has anti-inflammatory properties. The objective of this study was to describe the risk of COPD exacerbation in patients exposed to MTX. In this nationwide cohort study of 58,580 COPD outpatients, we compared the risk of hospitalization-requiring COPD exacerbation or death within 180 days in MTX vs. non-MTX users in a propensity-score matched study population as well as an unmatched cohort, in which we adjusted for confounders. The use of MTX was associated with a reduction in risk of COPD exacerbation in the propensity-score matched population at 180 days follow-up (HR 0.66, CI 0.66–0.66, p < 0.001). Similar results were shown in our sensitivity analyses at 180-day follow-up on unmatched population and 365-day follow-up on matched and unmatched population (HR 0.76 CI 0.59–0.99, HR 0.81 CI 0.81–0.82 and HR 0.92 CI 0.76–1.11, respectively). MTX was associated with a lower risk of COPD exacerbation within the first six months after study entry. The finding seems biologically plausible and could potentially be a part of the management of COPD patients with many exacerbations.