Background/Objectives: Pulmonary embolism (PE) is a potentially serious condition characterized by the blockage of blood vessels in the lungs, often presenting significant diagnostic challenges due to its non-specific symptoms. This study aimed to evaluate the utility of the alveolar–arterial (A-a) oxygen gradient as a diagnostic tool for PE, hypothesizing that it could enhance early detection when combined with other clinical markers. Methods: We retrospectively analyzed 168 patients at the University Hospital Center Split. This study correlated A-a gradients with PE confirmed by CT pulmonary angiography. Key clinical and biochemical markers, including heart rate, C-reactive protein (CRP), pro-brain natriuretic peptide (NT-proBNP), D-dimer, high-sensitivity troponin (hs-troponin), and arterial oxygen pressure (PaO₂), were assessed. Results: Our findings revealed that patients with PE had significantly higher A-a gradients than those without PE. The observed-to-expected ratio for the A-a gradient was notably increased in the PE group. Additionally, patients with PE exhibited elevated heart rate, CRP, NT-proBNP, D-dimer, and hs-troponin levels, while PaO₂ levels were notably lower. Conclusions: This study demonstrates that an elevated A-a gradient reflects the severity of gas exchange impairment in PE. The results suggest that early diagnosis of PE may be improved by incorporating A-a gradient analysis alongside other clinical markers, potentially leading to more effective and timely interventions.