A compressed air drying device includes a support base including an inlet of compressed air from a compressor, an outlet of the compressed air, and a discharge port of oil and water. The discharge port includes a drain valve device and a drying container. The container is filled with desiccant and is installed in the support base. In a loading operation, the compressed air drying device causes the desiccant to dry the compressed air introduced through the inlet and discharges the dried compressed air through the outlet. In an unloading operation, the compressed air drying device causes the compressed air to pass through the container to discharge oil and water from the discharge port. A glass fiber filter is provided at one or more of a position upstream of the desiccant and a position downstream of the desiccant in a flow of the compressed air during the loading operation.