In cancer patients, pulmonary embolism (PE) is the second leading cause of death after the cancer itself, most likely because of difficulties in diagnosing the disease due to its nonclassical presentation. The risk of PE recurrence and possibly the case-fatality rate depends on whether the patient presents a symptomatic PE, an unsuspected PE, a subsegmental PE, or a catheter-related PE. Choosing the best therapeutic option is challenging and should consider the risk of both the recurrence of thrombosis and the occurrence of bleeding. The purpose of this review is to provide an overview of the clinical characteristics and the treatment of cancer-associated PE, which could benefit clinicians to better manage the deadliest form of thrombosis associated with cancer. After a brief presentation of the epidemiological data, we will present the current attitude towards the diagnosis and the management of cancer patients with PE. Finally, we will discuss the perspectives of how the medical community can improve the management of this severe medical condition.