Pulmonary embolism (PE) is a common, potentially fatal thrombotic disease. Atrial fibrillation (AF), the most common arrhythmia, may also lead to thromboembolic complications. Although initially appearing as distinct entities, PE and AF may coexist. The direction and extent of this association has not been well characterized. We performed a search of PubMed, Scopus, and the Cochrane Database of Systematic Reviews for publications that reported coexisting AF in patients with PE, or vice versa, to provide a systematic overview of pathophysiological and epidemiological aspects of this association (last search: October 13, 2016). We screened 650 articles following the PubMed search, and 697 through Scopus. PE and AF share many common risk factors, including old age, obesity, heart failure, and inflammatory states. In addition, PE may lead to AF through right-sided pressure overload or inflammatory cytokines. AF, in turn, might lead to right atrial appendage clot formation and thereby PE. Epidemiological studies indicate that AF can be seen as a presenting sign, during the early phase, or later in the course of recovery from PE. Patients with AF are also at increased risk of developing PE, a risk that correlates with the CHA2 DS2-VASc score. For the choice of antithrombotic therapy, PE-related factors (provoked or unproved, active cancer, and prior recurrence) and AF-related factors (CHA2 DS2-VASc score), risk of bleeding, and patient preferences should be considered. In conclusion, PE and AF may coexist, with an understudied bidirectional association. Prognostication and choice of antithrombotic therapy in patients with both PE and AF might be different compared with those who present with only one of the two and warrants further investigation.