Pulmonary thromboembolic events (TE) have been linked to coronavirus disease 2019 (COVID‐19), but their incidence and long‐term sequelae remain unclear. We performed a systematic literature review to investigate the incidence of pulmonary embolism (PE), microthrombi, thrombosis in situ (thromboinflammatory disease) and chronic thromboembolic pulmonary hypertension (CTEPH) during and after COVID‐19. PubMed and the World Health Organization Global Research Database were searched on 7 May 2021. Hospital cohort and database studies reporting data for ≥ 1,000 patients and autopsy studies reporting data for ≥ 20 patients were included. Results were summarized descriptively. We screened 1,438 records and included 41 references (32 hospital/database studies and nine autopsy studies). The hospital/database studies reported the incidence of PE but not CTEPH, microthrombi or thromboinflammatory disease. PE incidence varied widely (0–1.1% of outpatients, 0.9–8.2% of hospitalized patients and 1.8–18.9% of patients in intensive care). One study reported PE events occurring within 45 days after hospital discharge (incidence in discharged patients: 0.2%). Segmental arteries were generally the most common location for PE. In autopsy studies, PE, thromboinflammatory disease and microthrombi were reported in 6–23%, 43–100% and 45–84% of deceased patients, respectively. Overall, the included studies mostly focussed on PE during the acute phase of COVID‐19. The results demonstrate the challenges of identifying and characterizing vascular abnormalities using current protocols (e.g. visual computed tomography reads). Further research is needed to detect subtle pulmonary vascular abnormalities, distinguish thromboinflammatory disease from PE, optimize treatment, and assess the incidence of long‐term sequelae after COVID‐19. This article is protected by copyright. All rights reserved.