Primary Sjögren’s syndrome (pSS) is an autoimmune disease, associated with a high risk of lymphoma. Mounting evidence suggests that cardiovascular morbidity and mortality are higher in patients with pSS, although data are heterogeneous. The aim of this study was to assess whether pSS patients are at higher risk of hospitalisation for cardiovascular events (CVEs), venous thromboembolic events (VTEs), pulmonary hypertension (PH), and sleep apnoea syndrome (SAS). Through a nationwide population-based retrospective study using the French health insurance database, we selected new-onset pSS in-patients hospitalised between 2011 and 2018. We compared the incidence of CVEs (ischemic heart diseases (IHDs), strokes, and heart failure), SAS, VTEs, and PH with an age- and sex-matched (1:10) hospitalised control group. The calculations of adjusted hazard ratios (aHR) included available confounding factors. We studied 25,661 patients hospitalised for pSS compared with 252,543 matched patients. The incidence of hospitalisation for IHD, SAS, and PH was significantly higher in pSS patients (aHR: 1.20 (1.06–1.34); p = 0.003, aHR: 1.97 (1.70–2.28); p < 0.001, and aHR: 3.32 (2.10–5.25); p < 0.001, respectively), whereas the incidence of stroke, heart failure, and VTE was the same between groups. Further prospective studies are needed to confirm these results and to explore the pathophysiological mechanisms involved.