Few studies have directly compared the incidence of pneumonia in patients on common chronic obstructive pulmonary disease (COPD) treatments such as long-acting muscarinic antagonists (LAMA) with those on inhaled corticosteroids and long-acting β2-agonist (ICS/LABA). Moreover, risk factors for pneumonia in COPD are still unclear. We aimed to compare the incidence of pneumonia in COPD patients on LAMA and those on ICS/LABA and explored the risk factors associated with pneumonia. This nationwide cohort study used Korean National Health Insurance claim data from January 2002 to April 2016. Patients who received COPD medication, either LAMA or ICS/LABA, with the COPD diagnostic code, were selected. We enrolled patients with good compliance (medication possession ratio ≥ 80%). The primary outcome was pneumonia in COPD patients initiating LAMA or ICS/LABA. We investigated the risk factors associated with pneumonia, including the sub-types of ICS treatments. After propensity score matching, the incidence rate per 1000 person-years of pneumonia was 93.96 for LAMA (n = 1003) and 136.42 for ICS/LABA (n = 1003) patients (p < 0.001). The adjusted hazard ratio (HR) for pneumonia in patients on fluticasone/LABA was 1.496 (95% confidence interval [CI] 1.204–1.859) compared with LAMA (p < 0.001). In multivariable analysis, a history of pneumonia was a risk factor associated with pneumonia (HR 2.123; 95% CI 1.580–2.852; p < 0.001). The incidence of pneumonia was higher in COPD patients on ICS/LABA compared with those on LAMA. It is recommended that ICS use be avoided in COPD patients with high pneumonia risk.