We investigate finite-size effects on diffusion in confined fluids using molecular dynamics simulations and hydrodynamic calculations. Specifically, we consider a Lennard-Jones fluid in slit pores without slip at the interface and show that the use of periodic boundary conditions in the directions along the surfaces results in dramatic finite-size effects, in addition to that of the physically relevant confining length. As in the simulation of bulk fluids, these effects arise from spurious hydrodynamic interactions between periodic images and from the constraint of total momentum conservation. We derive analytical expressions for the correction to the diffusion coefficient in the limits of both elongated and flat systems, which are in excellent agreement with the molecular simulation results except for the narrowest pores, where the discreteness of the fluid particles starts to play a role. The present work implies that the diffusion coefficients for wide nanopores computed using elongated boxes suffer from finite-size artifacts which had not been previously appreciated. In addition, our analytical expression provides the correction to be applied to the simulation results for finite (possibly small) systems. It applies not only to molecular but also to all mesoscopic hydrodynamic simulations, including Lattice-Boltzmann, Multiparticle Collision Dynamics or Dissipative Particle Dynamics, which are often used to investigate confined soft matter involving colloidal particles and polymers.