We aimed to compare six available bleeding scores, in a real-life cohort, for prediction of major bleeding in the early phase of pulmonary embolism (PE). We recorded in-hospital characteristics of 2754 PE patients in a prospective observational multicenter cohort contributing 18,028 person-days follow-up. The VTE-BLEED (Venous Thrombo-Embolism Bleed), RIETE (Registro informatizado de la enfermedad tromboembólica en España; Computerized Registry of Patients with Venous Thromboembolism), ORBIT (Outcomes Registry for Better Informed Treatment), HEMORR2HAGES (Hepatic or Renal Disease, Ethanol Abuse, Malignancy, Older Age, Reduced Platelet Count or Function, Re-Bleeding, Hypertension, Anemia, Genetic Factors, Excessive Fall Risk and Stroke), ATRIA (Anticoagulation and Risk Factors in Atrial Fibrillation), and HAS-BLED (Hypertension, Abnormal Renal/Liver Function, Stroke, Bleeding History or Predisposition, Labile International Normalized Ratio, Elderly, Drugs/Alcohol) scores were assessed at baseline. International Society on Thrombosis and Haemostasis (ISTH)-defined bleeding events were independently adjudicated. Accuracy of the overall original 3-level and newly defined optimal 2-level outcome of the scores were evaluated and compared. We observed 82 first early major bleedings (3.0% (95% CI, 2.4–3.7)). The predictive power of bleeding scores was poor (Harrel’s C-index from 0.57 to 0.69). The RIETE score had numerically higher model fit and discrimination capacity but without reaching statistical significance versus the ORBIT, HEMORR2HAGES, and ATRIA scores. The VTE-BLEED and HAS-BLED scores had significantly lower C-index, integrated discrimination improvement, and net reclassification improvement compared to the others. The rate of observed early major bleeding in score-defined low-risk patients was high, between 15% and 34%. Current available scoring systems have insufficient accuracy to predict early major bleeding in patients with acute PE. The development of acute-PE-specific risk scores is needed to optimally target bleeding prevention strategies.