The use of hydroxychloroquine (HCQ) in the prevention or treatment of COVID-19 remains controversial due to the insufficient supporting evidence and clinical studies indicating that it does not reduce COVID-19 mortality. Its potential protective effects against SARS-CoV-2 are still unclear. Big data resources, such as MarketScan database containing over 30 million insured participants annually, have not been used systematically to assess the association between long-term HCQ use and the risk of COVID-19. This retrospective study aimed to determine the protective effect of HCQ using the MarketScan database. We examined COVID-19 incidence from January to September 2020 among adult patients with systemic lupus erythematosus or rheumatoid arthritis who had received HCQ for at least 10 months in 2019 compared to those who did not. Propensity score matching was used to control for confounding variables and make the HCQ and non-HCQ groups comparable in this study. After matching at the ratio of 1:2, the analytical dataset comprised 13,932 patients who received HCQ for over 10 months and 27,754 HCQ-naïve patients. Multivariate logistic regression showed that long-term HCQ use was associated with a lower likelihood of COVID-19 in patients who had been receiving HCQ for over 10 months (OR=0.78, 95% CI: 0.69-0.88). These findings suggest that long-term HCQ use may provide protection against COVID-19.