We determined sex differences in the prevalence of obstructive sleep apnea (OSA) among patients hospitalized with pulmonary embolism (PE) in Spain (2016–2018). We also compared outcomes according to the presence of OSA, and identified variables associated with in-hospital-mortality (IHM) after PE using the Spanish National Hospital Discharge Database. We identified 46,794 hospital admissions for PE; of these, 5.47% had OSA. OSA was more prevalent among men than women (7.57% vs. 3.65%, p < 0.001), as in the general population. Propensity score matching did not reveal differences in concomitant conditions or procedures between patients with and without OSA, except for the use of non-invasive ventilation, which was more frequent in patients with OSA. IHM was similar in patients with and without OSA (3.58% vs. 4.31% for men and 4.39% vs. 4.93% for women; p > 0.05). Older age, cancer, atrial fibrillation, non-septic shock, and need for mechanical ventilation increased IHM in men and women with OSA hospitalized with PE. The logistic regression model showed no sex differences in IHM among patients with OSA.