Background: Pulmonary embolism (PE) is described as a prognostic factor in patients with cancer however, the prognostic impact of PE remains unknown. This study investigated, the 1-year prognosis following PE in patients with breast-, gastrointestinal-, or lung cancer stratified by cancer status. Methods: All Danish patients with first-time PE from 2008 to 2018 were included. Cancer status was categorized as no cancer, history of cancer, non-active cancer and active cancer. Unadjusted and age-stratified 1-year risk of death was estimated using the Kaplan-Meier estimator. Cause of death was reported using the Aalen-Johansen method. Results: Of 35,679 patients with PE, 18% had a breast-, gastrointestinal-, or lung cancer. Patients with cancer were older compared with no cancer (69.8 years [IQR: 56.2–79.8]). One-year risk of death (95% confidence interval) for active breast-, gastrointestinal-, and lung cancer was 49.5% (44.0%–54.9%), 75.0% (72.5%–77.4%) and 80.1% (78.0%–82.3%) respectively, compared with 18.9% (18.4%–19.3%) for no cancer. Age-stratified analysis revealed no association with increasing age in non-active lung cancer and all active cancers. Further, non-cardiovascular death accounted for an increasing proportion by cancer status (no cancer < history of cancer < non-active cancer < active cancer). Conclusions: One-year risk of death was dependent on both cancer type and status; no association with age was found for patients with active cancers. Non-cardiovascular death was leading in non-active and active cancers. Thus, the occurrence of first-time PE could be regarded as a marker of cancer severity for patients with breast-, gastrointestinal-, and lung cancer.