Hydrogen-absorbing magnetic alloy films, such as palladium-cobalt (PdCo) alloy films, are expected to play a significant role in the next generation of hydrogen sensors. However, effects of hydrogenation on such films are very complex, since these alloys show strong spin-orbit interaction, i.e., strong magnetoelastic coupling. Accordingly, we conducted integrated research on the hydrogenation, magnetoelastic coupling, magnetism, and galvanomagnetic effect of PdCo alloy films having different magnetic anisotropies of longitudinal and perpendicular magnetic anisotropies. As a result, it was revealed that the stress in the film determines its magnetic anisotropy. The magnetoresistance curves of films, consisting of ordinal and anisotropic magnetoresistance effects, correspond well to the magnetization-magnetic field curves. Hydrogenation results in the compressive stress and decreased magnetostriction, which both have a negative influence on the perpendicular magnetic anisotropy energy of the films. Moreover, the influence is observed also in ordinal and anisotropic magnetoresistances. In addition, the increases in coercivity and electronic resistivity due to the incorporated hydrogen atoms (and related defects) are detected. The results are summarized in a correlation diagram, which shows that hydrogen-absorbing magnetic alloy films are very suitable for use in hydrogen sensors—the films can detect hydrogen via various methods such as magnetic anisotropy, galvanomagnetic effect, coercivity, and resistivity.