(1) Background: Pulmonary embolism (PE) is a severe condition, representing the third most important cardiovascular cause of death after myocardial infarction and stroke. Despite the use of clinical pre-test probability scores, D-dimer measuring, and computer tomography pulmonary angiography (CTPA), PE diagnosis remains a challenge. Brain-derived neurotrophic factor (BDNF) is the most important member of the neurotrophin family, which has also been shown to be involved in the physiopathology of cardiovascular conditions such as heart failure and myocardial infarction. In this study, we aimed to assess the BDNF expression in patients with acute PE compared to the general population, and to also investigate its diagnostic and prognostic role. (2) Methods: We conducted a single center prospective study, which included 90 patients with PE and 55 healthy volunteers. Clinical and paraclinical parameters, together with plasma levels of BDNF, were evaluated in all patients after admission. (3) Results: The plasma levels of BDNF were significantly lower in the PE patients compared with the control group (403 vs. 644 pg/mL, p < 0.001). ROC analysis revealed an AUC of 0.806 (95% CI 0.738–0.876, p < 0.001) and a cut-off value of 564 pg/mL, which associated a sensitivity of 74.4% and a specificity of 78.2% for PE. Low BDNF levels also correlated with prognostic markers of PE, such as PESI score (p = 0.023), NT-proBNP (p < 0.01), right ventricular diameter (p = 0.029), and tricuspid annular plane systolic elevation (p = 0.016). Moreover, we identified a decreased BDNF expression in patients with high-risk PE (p < 0.01), thrombolytic treatment (p = 0.01), and patients who died within 30 days (p = 0.05). (4) Conclusions: Our study revealed that plasma BNDF is significantly lower in patients with PE when compared with the general population, and may be considered as a promising biomarker in complementing the current diagnostic tools for PE. Furthermore, low levels of BDNF might also be used to predict a poor outcome of this condition.