Patients with high‐grade gliomas are at high risk of venous thromboembolism (VTE). MicroRNAs (miRNAs) are small non‐coding RNAs with multiple roles in tumour biology, haemostasis and platelet function. Their association with VTE risk in high‐grade glioma has not been comprehensively mapped so far. We thus conducted a nested case–control study within 152 patients with WHO grade IV glioma that had been part of a prospective cohort study on VTE risk factors. At inclusion a single blood draw was taken, and patients were thereafter followed for a maximum of 2 years. During that time, 24 patients (16%) developed VTE. Of the other 128 patients, we randomly selected 24 age‐ and sex‐matched controls. After quality control, the final group size was 21 patients with VTE during follow‐up and 23 without VTE. Small RNA next‐generation sequencing of plasma was performed. We observed that hsa‐miR‐451a was globally the most abundant miRNA. Notably, 51% of all miRNAs showed a correlation with platelet count. The analysis of miRNAs differentially regulated in VTE patients—with and without platelet adjustment—identified potential VTE biomarker candidates such as has‐miR‐221‐3p. Therewith, we here provide one of the largest and deepest peripheral blood miRNA datasets of high‐grade glioma patients so far, in which we identified first VTE biomarker candidates that can serve as the starting point for future research.