Although pulmonary embolism (PE) is a frequent complication in COVID-19, its consequences remain unknown. We performed pulmonary function tests, echocardiography and computed tomography pulmonary angiography and identified blood biomarkers in a cohort of consecutive hospitalized COVID-19 patients with pneumonia to describe and compare medium-term outcomes according to the presence of PE, as well as to explore their potential predictors. A total of 141 patients (56 with PE) were followed up during a median of 6 months. Post-COVID-19 radiological lung abnormalities (PCRLA) and impaired diffusing capacity for carbon monoxide (DLCOc) were found in 55.2% and 67.6% cases, respectively. A total of 7.3% had PE, and 6.7% presented an intermediate–high probability of pulmonary hypertension. No significant difference was found between PE and non-PE patients. Univariate analysis showed that age > 65, some clinical severity factors, surfactant protein-D, baseline C-reactive protein, and both peak red cell distribution width and Interleukin (IL)-10 were associated with DLCOc < 80%. A score for PCRLA prediction including age > 65, minimum lymphocyte count, and IL-1β concentration on admission was constructed with excellent overall performance. In conclusion, reduced DLCOc and PCRLA were common in COVID-19 patients after hospital discharge, but PE did not increase the risk. A PCRLA predictive score was developed, which needs further validation.