Introduction: Acute pulmonary embolism (aPE) is frequently associated with coronavirus infectious disease-2019 (COVID-19) with an incidence of more than 16%. Among the new promising biomarkers of aPE, neutrophil-to-lymphocyte ratio (NLR) and platelet-to-lymphocyte ratio (PLR) showed correlations with aPE prognosis. The aim of this study was to conduct an exploratory analysis to check the possible role of cell blood count (CBC) parameters as diagnostic and prognostic biomarkers of aPE in COVID-19 patients. Materials and Methods: A case control study was conducted. Two populations were compared: (i) patients hospitalised from 31 January 2020 to 30 June 2021 with severe acute respiratory syndrome-coronavirus 2 (SARS-CoV-2) infection and aPE confirmed at angio computed tomography (aCT) or pulmonary scintigraphy (COVID-19 aPE group); (ii) patients hospitalised from 31 January 2017 to 30 June 2021 without SARS-CoV-2 infection whose suspicion of aPE was excluded by aCT or pulmonary scintigraphy (no-aPE group). Results: Overall, 184 patients were included in the study, 83 in COVID-19 aPE group and 101 in no-aPE group. At the univariate analysis, COVID-19 patients with aPE had higher NLR, PLR, neutrophil and lymphocyte counts than patients without aPE (p < 0.05). No significant difference was found in mean platelet volume and platelet counts. No difference in mortality rate was detected. At the multivariate analysis, neutrophil and lymphocyte counts were both associated with diagnostic of aPE while no CBC parameters were associated with mortality at day#7. Conclusions: Neutrophiland lymphocyte counts could be predictors of the early detection of aPE in COVID-19 patients. The value of CBC indices as biomarkers of aPE in daily clinical practice needs to be investigated in further studies.