Background: The effects of oral antihyperglycaemic drugs (OADs) for type 2 diabetes mellitus (T2DM) on the outcomes of co-existing chronic obstructive pulmonary disease (COPD) patients are not well studied. We examined the association of combinational OADs and the risk of acute exacerbations of COPD (AECOPD) in T2DM patients with co-existing COPD. Methods: A cohort-based case–control study was conducted using data from the National Health Insurance Research Database of Taiwan. Among new-onset COPD-T2DM patients, 65,370 were prescribed metformin and 2nd-line OADs before the date of COPD onset. Each AECOPD case was matched to 4 randomly selected controls according to the propensity score estimated by the patient’s baseline characteristics. Conditional logistic regression analysis was performed to estimate the association between AECOPD risk and OAD use. Results: Among COPD-T2DM patients, 3355 AECOPD cases and 13,420 matched controls were selected. Of the patients treated with a double combination of oral OADs (n = 12,916), those treated with sulfonylurea (SU) and thiazolidinediones (TZD) had a lower AECOPD risk than the patients who received metformin (MET) and SU, with an adjusted odds ratio (OR) of 0.69 (95% confidence interval [CI] 0.51–0.94, P = 0.02). Of the patients with a triple combination of oral OADs (n = 3859), we found that those treated with MET, SU and TZD had a lower risk of AECOPD (adjusted OR 0.81 (0.68–0.96, P = 0.01) than a combination of MET, SU and α-glucosidase inhibitors (AGIs) regardless of the level of COPD complexity. Conclusion: Combination therapies with TZD were associated with a reduced risk of AECOPD in advanced T2DM patients with co-existing COPD.