Pan-immune inflammation value (PIV) is associated with prognosis in immune and inflammatory diseases, and inflammation is a hallmark of pulmonary embolism (PE). Nonetheless, the link between PIV and prognosis in PE remains unclear. However, few studies have specifically focused on critically ill patients with PE in ICUs. This study retrospectively analyzed electronic health data of patients with PE from the Medical Information Mart for Intensive Care (MIMIC-IV) database. The primary outcome was 28-day ACM; secondary outcomes were 90-day, 1-year, ICU, and in-hospital mortality. The study population included 213 patients with PE. Multivariate Cox proportional hazards regression showed that elevated PIV was significantly associated with ACM at 28 days (adjusted hazard ratio [aHR]: 1.93; 95% confidence interval [CI]: 1.02–3.63) and 90 days (aHR: 1.96; 95% CI: 1.10–3.47). Further, multivariate logistic regression analysis showed that PIV was significantly and positively associated with the risk of ACM. Kaplan-Meier survival curves showed that PIV was positively associated with ACM. Subgroup and interaction analyses corroborated this correlation. PIV was significantly correlated with ACM in critically ill ICU patients with PE. This correlation highlights the potential utility of PIV for stratifying patients with PE according to their risk of death.