Introduction Human immunodeficiency virus (HIV), Tuberculosis (TB) and coronavirus disease (COVID-19) infections independently possess the ability to trigger formation of venous thromboembolism (VTE) and pulmonary embolism (PE). To the authors’ knowledge, this is the first case report describing the presence of PE in a patient with all three aforementioned infectious co-morbidities. Presentation A patient living with HIV with virological failure secondary to defaulting antiretroviral therapy (ART) presented with hypoxia, clinical and radiological features suggestive of community-acquired pneumonia (CAP) with raised inflammatory markers and D-dimer levels. Management She was commenced on prophylactic anticoagulation, supplemental oxygen and empirical antibiotics targeting CAP and pneumocystis jiroveci pneumonia, swabbed for COVID-19 infection and had sputa sent for Gene Xpert® TB testing. A day later, COVID-19 results returned positive and the patient was transferred to isolation and added onto dexamethasone and therapeutic anticoagulation. Sputa returned positive for mycobacterium TB a day later, and anti-tuberculosis therapy was added. She remained persistently hypoxic, with a Well’s score of 3 placing her at moderate risk for PE, which prompted for a computed tomography pulmonary angiogram (CTPA) being ordered, which demonstrated left lower lobe subsegmental PE. Warfarin was added to her regimen. She was discharged on day 18 with a therapeutic international normalised ratio (INR) and not requiring oxygen therapy. Conclusion This scenario is relevant in low to middle-income countries. The utilisation of a raised D-Dimer in the setting of all four coexisting conditions in arriving at a definite diagnosis remains uncertain. We noted that despite our index patient being on thrombo-prophylaxis, she developed PE highlighting the need for increased vigilance in all COVID-19 patients, even those on prophylactic anticoagulation.