Hypercoagulability and endotheliopathy reported in patients with coronavirus disease 2019 (COVID-19) combined with strict and prolonged immobilization inherent to deep sedation and administration of neuromuscular blockers for Acute Respiratory Distress Syndrome (ARDS) may expose critically ill COVID-19 patients to an increased risk of venous thrombosis and pulmonary embolism (PE). We aimed to assess the rate and to describe the clinical features and the outcomes of ARDS COVID-19 patients diagnosed with PE during ICU stay. From March 13th to April 24th 2020, a total of 92 patients (median age: 61 years, 1st-3rd quartiles [55-70]; males: n = 73/92, 79%; baseline SOFA: 4 [3-7] and SAPS II: 31 [21-40]; invasive mechanical ventilation: n = 83/92, 90%; ICU mortality: n = 45/92, 49%) were admitted to our 41-bed COVID-19 ICU for ARDS due to COVID-19. Among them, 26 patients (n = 26/92, 28%) underwent a Computed Tomography Pulmonary Angiography which revealed PE in 16 (n = 16/26, 62%) of them, accounting for 17% (n = 16/92) of the whole cohort. PE was bilateral in 3 (19%) patients and unilateral in 13 (81%) patients. The most proximal thrombus was localized in main (n = 4, 25%), lobar (n = 2, 12%) or segmental (n = 10, 63%) pulmonary artery. Most of the thrombi (n = 13/16, 81%) were located in a parenchymatous condensation. Only three of the 16 patients (19%) had lower limb venous thrombosis on Doppler ultrasound. Three patients were treated with alteplase and anticoagulation (n = 3/16, 19%) while the 13 others (n = 13/16, 81%) were treated with anticoagulation alone. ICU mortality was higher in patients with PE compared to that of patients without PE (n = 11/16, 69% vs. n = 2/10, 20%; p = 0.04). The low rate of lower limb venous thrombosis together with the high rate of distal pulmonary thrombus argue for a local immuno-thrombotic process associated with the classic embolic process. Further larger studies are needed to assess the real prevalence and the risk factors of pulmonary embolism/thrombosis together with its prognostic impact on critically ill patients with COVID-19.