A compressed air drying device includes a support case, a drying container installed in the support case, and a cover installed on the support case while covering the drying container. In load operation, compressed air that flows from an inlet of the support case is dried by a desiccant, and the dried compressed air is discharged. In unload operation, the compressed air inside the cover is passed through the inside of the drying container and oil and water is drained from a drain outlet. The compressed air drying device further includes an inlet opening/closing device that opens the inlet in the load operation, and closes the inlet in the unload operation.