The phase diagrams of the frustrated classical spin model with the Dzyaloshinskii–Moriya (DM) interaction on the Shastry–Sutherland lattice are studied by means of Monte Carlo simulations. For ferromagnetic next‐nearest‐neighboring (J2) interactions, the introduced exchange frustration enhances the effect of the DM interaction, which enlarges the magnetic field‐range with the skyrmion lattice phase and increases the skyrmion density. For antiferromagnetic J2 interactions, the so‐called 2q phase (two‐sublattice skyrmion crystal) and the spin‐flop phase are observed, and their stabilizations are closely dependent on the DM interaction and J2 interaction, respectively. The simulated results are qualitatively explained from the energy competitions among these couplings, which provide an important guidance for finding skyrmion crystals in frustrated magnets.