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The aim of our study was to assess the effect of 8 weeks of pulmonary rehabilitation (PR) in patients with pulmonary embolism (PE) during unsupervised PR (unSPR_group) versus supervised PR (SPR_group) on cardiopulmonary exercise testing (CPET) parameters, sleep quality, quality of life and cardiac biomarkers (NT-pro-BNP). Fourteen patients with PE (unSPR_group, n = 7, vs. SPR_group, n = 7) were included in our study (age, 50.7 ± 15.1 years; BMI, 30.0 ± 3.3 kg/m²). We recorded anthropometric characteristics and questionnaires (Quality of life (SF-36) and Pittsburg sleep quality index (PSQI)), we performed blood sampling for NT-pro-BNP measurement and underwent CPET until exhausting before and after the PR program. All patients were subjected to transthoracic echocardiography prior to PR. The SPR_group differed in mean arterial pressure at rest before and after the PR program (87.6 ± 3.3 vs. 95.0 ± 5.5, respectively, <i>p</i> = 0.010). Patients showed increased levels of leg fatigue (rated after CPET) before and after PR (<i>p</i> = 0.043 for SPR_group, <i>p</i> = 0.047 for unSPR_group) while the two groups differed between each other (<i>p</i> = 0.006 for post PR score). Both groups showed increased levels in SF-36 scores (general health; <i>p</i> = 0.032 for SPR_group, <i>p</i> = 0.010 for unSPR_group; physical health; <i>p</i> = 0.009 for SPR_group, <i>p</i> = 0.022 for unSPR_group) and reduced levels in PSQI (cannot get to sleep within 30-min; <i>p</i> = 0.046 for SPR_group, <i>p</i> = 0.007 for unSPR_group; keep up enough enthusiasm to get things done; <i>p</i> = 0.005 for SPR_group, <i>p</i> = 0.010 for unSPR_group) following the PR program. The ΝT-pro-BNP was not significantly different before and after PR or between groups. PR may present a safe intervention in patients with PE. The PR results are similar in SPR_group and unSPR_group.