Objective To evaluate Pneumocystis jirovecii pneumonia (PJP) infection risk in patients with systemic lupus erythematosus (SLE) in Taiwan. Methods We identified 24,367 patients with SLE from the National Health Insurance research database between 1997 and 2012 and compared the PJP incidence rates (IRs) with those in 243,670 age‐ and sex‐matched non‐SLE controls. PJP risk in the patients was evaluated using a Cox multivariate proportional hazards model. Results The SLE patients exhibited a significantly higher PJP risk than the controls, with an IR of 2.63 per 10,000 person‐years and IR ratio of 27.65 (95% confidence interval 17.2–45.3; P < 0.001). Male sex (hazard ratio HR 2.42, P < 0.01), end‐stage renal disease (ESRD; HR 1.74, P = 0.01), recent use of mycofenolate mofetil (MMF; HR 4.43, P < 0.001), intravenous steroid pulse therapy (HR 108.73, P < 0.001), and average oral dosage of >7.5 mg/day prednisolone or equivalent treatment (HR 4.83, P < 0.001) were associated with PJP in SLE, whereas hydroxychloroquine use reduced its risk (HR 0.51, P = 0.01). Of note, cyclophosphamide was not associated with PJP infection in the multivariate Cox proportional hazard model. Conclusion Patients with SLE have a considerably high PJP risk. Cyclophosphamide does not increase PJP risk. Male sex, ESRD, MMF use, intravenous steroid pulse therapy, and oral prednisolone or equivalent treatment (>7.5 mg/day) are risk factors for PJP, whereas hydroxychloroquine use reduces PJP risk.