Introduction: Thrombotic complications, such as pulmonary embolism, are common in COVID-19 patients. Point-of-care ultrasound is a highly recommended tool for orientation in critically ill patients with suspected or confirmed complications. Methods: An observational study was conducted on 32 consecutive patients with confirmed pulmonary embolism and COVID-19 infection treated in the Intensive Care Unit of the University Hospital Medical Center “Bežanijska kosa”, Belgrade, Serbia, between April 2021 and March 2022. Predictors of the need for oxygen support were determined, while point-of-care echocardiographic parameters and various anamnestic, laboratory, and clinically significant parameters were correlated with the Pulmonary Embolism Severity Index (PESI) score. Results: More than two-thirds of patients in our study had PE symptoms present at hospital admission (68.8%). The majority of patients had segmental pulmonary embolism (48.4%), with high to very high PESI score values in 31.3% of patients. Pneumonia was present in 68.8% of the study population. The PESI score was negatively correlated with diastolic blood pressure and SaO2 at the time of PE diagnosis, LV ejection fraction, and PVAT. A positive correlation was found between the PESI score, maximum CRP, and D-dimer at the time of PTE diagnosis. A larger right ventricular diameter was associated with a greater need for oxygen support. Conclusion: Point-of-care echocardiography is a valuable tool for the risk assessment of COVID-19 patients with pulmonary embolism. Right ventricular size stood out as a significant marker of disease severity.