Acute pulmonary embolism (PE) impairs hemodynamics, gas exchange, and lung mechanical capacity. Considering PE pathophysiology, most attention has been paid to hemodynamic impairment. However, the most prevalent symptoms in PE patients come from gas exchange alterations, which have not been in the spotlight for many years. Pulmonary physiology and consequent gas exchange impairment play a pivotal role in the high risk of death from PE. In this review, we will look at the pathophysiology of PE, from the vascular occlusion to the resultant heterogeneity in pulmonary perfusion and gas exchange impairment, discussing in detail its causes and consequences.