Many cancer patients will experience venous thromboembolism (VTE) at some stage, with the highest rate in the initial period following diagnosis. Novel cancer therapies may further enhance the risk. VTE in a cancer setting is associated with poor prognostic, a decreased quality of life, and high healthcare costs. If thromboprophylaxis in hospitalized cancer patients and perioperative settings is widely accepted in clinical practice and supported by the guidelines, it is not the same situation in ambulatory cancer patient settings. The guidelines do not recommend primary thromboprophylaxis, except in high-risk cases. However, nowadays, risk stratification is still challenging, although many tools have been developed. The Khrorana score remains the most used method, but it has many limits. This narrative review aims to present the current relevant knowledge of VTE risk assessment in ambulatory cancer patients, starting from the guideline recommendations and continuing with the specific risk assessment methods and machine learning models approaches. Biomarkers, genetic, and clinical features were tested alone or in groups. Old and new models used in VTE risk assessment are exposed, underlining their clinical utility. Imaging and biomolecular approaches to VTE screening of outpatients with cancer are also presented, which could help clinical decisions.