Conflicting studies exist on the association between menopausal hormone therapy (MHT) and skin cancers, such as melanoma and non-melanoma skin cancer (NMSC). This retrospective cohort study aimed to evaluate the risk of skin cancer from MHT using data from 2002 to 2019 from the National Health Insurance Service in South Korea. We included 192,202 patients with MHT and 494,343 healthy controls. Women > 40 years who had menopause between 2002 and 2011 were included. Patients with MHT had at least one MHT for at least 6 months and healthy controls had never been prescribed MHT agents. We measured the incidence of melanoma and NMSC. Melanoma developed in 70 (0.03%) patients with MHT and 249 (0.05%) controls, while the incidence of NMSC was 417 (0.22%) in the MHT group and 1680 (0.34%) in the controls.Tibolone (hazard ratio [HR] 0.812, 95% confidence interval [CI] 0.694–0.949) and combined oestrogen plus progestin by the manufacturer (COPM; HR 0.777, 95% CI 0.63–0.962) lowered the risk of NMSC, while other hormone groups did not change the risk. Overall, MHT was not associated with melanoma incidence in menopausal Korean women. Instead, tibolone and COPM were associated with a decrease in NMSC occurrence.