Objective Hydroxychloroquine (HCQ) has been used during the coronavirus disease 2019 (COVID-19) pandemic because of its reported anti-viral activity. This study examined the association of chronic HCQ use with the incidence and complications of COVID-19. Methods This retrospective cohort study included adults with rheumatoid arthritis and/or systemic lupus erythematosus who visited rheumatology clinics in three tertiary hospitals in Riyadh, Saudi Arabia between January 2019 and December 2020. Patients were categorized into two groups based on HCQ use. Data were obtained from the electronic health record and by interviews with patients. The primary study objective was the incidence of COVID-19 and its complications from March 2020 to February 2021. Results Almost 11% of the study cohort was positive for COVID-19, and the incidence of COVID-19 was similar between HCQ users (11.11%) and nonusers (10.86%). Disease complication rates were similar in the study arms, and they mainly included fever, dry cough, fatigue, and breathing difficulty. Conclusions This study revealed no significant association between chronic HCQ use and the incidence of COVID-19, and disease complications were similar in the study arms.