This study investigates the relationship between inter‐decadal variation in the number of monsoon depressions (MDs) over the Bay of Bengal (BoB) and the Pacific Decadal Oscillation (PDO). It is shown that there is an out‐of‐phase variation in the number of MDs over the BoB and the PDO, except during 1927–1945. Quantitative estimates of the relative contributions of individual environmental parameters show that the variation in the mid‐tropospheric relative humidity over the BoB is the primary reason for the observed variation in the number of MDs. It is further postulated that the variation in the sea surface temperature in the western equatorial Indian Ocean associated with the PDO could be one of the reasons for the changes in the moisture advection over to the BoB and hence the variation in the number of MDs in inter‐decadal timescale.