Objective To explore the effect of alveolar-arterial oxygen gradient [P(A-a)O2] level at the admission on the prognosis of the patients with acute pulmonary embolism (APE). Methods The medical records of the patients who were firstly confirmed APE in 3 first-class hospitals at grade 3 in Tangshan from 2011 to 2016 were retrospectively collected. The survival information of the patients was collected by telephone follow-up. According to P(A-a)O2 and the ROC curve of the prognosis of the APE patients, the patients were divided into two groups: P(A-a)O2 < 41.5 mmHg group and P(A-a)O2 ≥ 41.5 mmHg group. Kaplan-Meier curve was used to compare cumulative survival rate between the two groups. COX proportional hazards regression model was used to analyze the predictive value of alveolar-arterial oxygen gradient on the prognosis of APE patients. Results A total of 432 APE patients were included in the study, among which 59 patients died after discharge. The post-discharge mortality was 2.7% in the P(A-a)O2 <41.5 mmHg group and 31.0% in the P(A-a)O2 ≥ 41.5 mmHg group. After adjusting for other influencing factors, P(A-a)O2 ≥ 41.5 mmHg increased the risk of death [H^R = 1.776 (95% CI: 1.006, 3.136)]. Conclusions P(A-a)O2 can be used to predict the prognosis of the patients with APE.