Background: Although patients with chronic obstructive pulmonary disease (COPD) receive poor-quality palliative care, information about the use of palliative sedation (PS) in the last days of life is very scarce. Objectives: To compare the use of PS in hospitalized patients who died from COPD or lung cancer and identify factors correlating with PS application. Methods: In a retrospective observational cohort study, from 1,675 patients died at a teaching hospital between 2013 and 2015, 109 patients who died from COPD and 85 from lung cancer were compared. Sociodemographic data, clinical characteristics, health care resource utilization, application of PS and prescribed drugs were recorded. Results: In the last 6 months of life, patients who died from COPD had more hospital admissions due to respiratory causes and less frequent support by a palliative home care team (PHCT). Meanwhile, during their last hospitalization, patients who died from COPD had fewer do-not-resuscitate orders and were subjected to more intensive care unit admissions and cardiopulmonary resuscitation maneuvers. PS was applied less frequently in patients who died from COPD than in those who died from lung cancer (31 vs. 53%, p = 0.002). Overall, previous use of opioid drugs, support by a PHCT, and a diagnosis of COPD (adjusted odds ratio 0.48, 95% CI: 0.26–0.89, p = 0.020) were retained as factors independently related to PS. In COPD patients, only previous use of opioid drugs was identified as a PS-related factor. Conclusion: During their last days of life, hospitalized COPD patients receive PS less frequently than patients with lung cancer.